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，重点是开发工具和方法，以建立和测试整个经济的数学模型。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利率为0%的情况下不能很好地发挥作用。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了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产生的影响的能力。私人投资者指数将开发新的算法和方法来模拟零利率的经济。个人投资者指数将在零利率下限(ZLB)审查货币政策分析，考虑零利率下限的前瞻性指引的影响，并在零利率下限为约束时描述最佳目标通胀率，同时也存在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动态随机一般均衡模型中实施零利率所导致的多重均衡问题，一个是通胀和通胀预期缓慢漂移的均衡，另一个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，在不施加严格交叉系数限制的情况下模拟DSGE模型中的非线性。

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.