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研究，重点是开发用于构建和测试整个经济数学模型的工具和方法。 目标是更好地理解当名义利率非常接近或等于零时经济如何运行;标准模型使用的数学假设在0%的利率下不起作用。 这些挑战限制了研究人员在经济接近这一利率时研究商业周期波动原因的能力。 由于政策制定者使用一些相同的建模方法，这些挑战也影响了政策制定者理解货币政策变化可能影响的能力。 研究员们将开发零利率经济体模型的新算法和方法，研究零利率下限（ZLB）下的货币政策分析，考虑ZLB下的前瞻性指导的效果，并确定ZLB为约束条件时的最佳目标通胀率，以及产生货币需求的现实摩擦。 他们将通过考虑两个特定的均衡来考虑在许多DSGE模型中强加ZLB所引起的多重均衡问题，一个是通货膨胀和通货膨胀预期缓慢漂移的均衡，另一个是制度变化由基本面冲击触发的均衡。 最后，该团队将开发两种非线性向量自回归模型，它们模拟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.