Estimating DSGE Models with Zero Interest Rate Policy

Kulish, Mariano and Morley, James and Robinson, Tim (2017) Estimating DSGE Models with Zero Interest Rate Policy. Journal of Monetary Economics, 88. pp. 35-49.

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Abstract

We propose estimating DSGE models in which the central bank fixes the policy rate for an extended period of time and apply our approach to estimate expected durations of the Federal Reserve’s zero interest rate policy since 2009. We find a large increase in expected duration in 2011 with the move to calendar-based guidance and a decrease in 2013 with the ‘Taper tantrum’. These changes are identified by the influence of expected duration on output, inflation and interest rates at longer maturities. The structural model measures the severity of the zero lower bound constraint and the effects of unconventional policy.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Monetary Economics
Subjects:
ID Code:
130429
Deposited By:
Deposited On:
16 Jan 2019 11:45
Refereed?:
Yes
Published?:
Published
Last Modified:
16 Sep 2020 05:09