Collaborative Research: Monetary DSGE Models at the Zero Lower Bound: Policy Analysis and Econometric Inference

该奖项资助宏观经济学的研究，重点是开发用于建立和测试整个经济的数学模型的工具和方法。其目标是更好地理解当名义利率非常接近或等于零时，经济是如何运行的；标准模型使用的数学假设在利率为0%的情况下并不适用。当经济接近这一利率时，这些挑战限制了研究人员研究商业周期波动原因的能力。由于决策者使用一些相同的建模方法，这些挑战也影响了决策者理解货币政策变化可能产生的影响的能力。pi将开发新的算法和方法来模拟利率为0%的经济体。pi将研究零利率下限（ZLB）下的货币政策分析，考虑零利率下限前导的影响，并描述当零利率下限是约束条件且存在产生货币需求的现实摩擦时的最佳目标通胀率。他们将通过考虑两种特定的均衡，考虑在许多DSGE模型中强加ZLB所引起的多重均衡问题，其中一种均衡是通胀和通胀预期缓慢漂移的均衡，另一种均衡是由基本面冲击引发的制度变化。最后，该团队将开发两种非线性向量自回归模型，模拟DSGE模型中的非线性，而不施加严格的交叉系数限制。

This award funds research in macroeconomics, focusing on the development of tools and methods for building and testing mathematical models of an entire economy. The goal is to better understand how economies operate when nominal interest rates are very close or equal to zero; standard models use mathematical assumptions that do not work well with 0% interest. These challenges limit the ability of researchers to study the causes of business cycle fluctuations when an economy is near this interest rate. Because policymakers use some of the same modeling methods, the challenges also affect policymakers' ability to understand the possible effects of changes in monetary policy. The PIs will develop new algorithms and methods for modeling economies with 0% interest.The PIs will examine monetary policy analysis at the Zero Lower Bound (ZLB), considering the effects of forward guidance at the ZLB and characterizing the optimal target inflation rate when the ZLB is a constraint and there are also realistic frictions that generate money demand. They will consider the multiple equilibrium problem caused by impose the ZLB in many DSGE models by considering two specific equilibria, one in which inflation and inflation expectations drift slowly, and one where the change in regimes is triggered by fundamental shocks. Finally, the team will develop two kinds of nonlinear vector autoregressive models that mimic the nonlinearities in the DSGE model without imposing tight cross-coefficient restrictions.