This paper proposes an empirical dynamic stochastic general equilibrium (DSGE) framework to measure the degree of monetary policy accommodation when the nominal interest rate is zero. The framework employs a hypothetical DSGE model in which the nominal interest rate can be lowered below zero...

A new technique to estimate simultaneously the potential output and Phillips curve is demonstrated. Here we define the potential output as the non-accelerating-inflation level of output (NLO). The NLO is not a mere trend of the actual output, but rather is a critical level of output with the...

How do financial factors due to credit-market imperfections affect economic fluctuations? This paper calibrates a dynamic general equilibrium model incorporating credit-market imperfections using Japanese data. The model exhibits financial accelerator effects, the mechanism whereby credit-market...

In this paper, we carry out a historical evaluation of the financial accelerator effects, which were mainly generated by the changes in asset prices, operating on Japan's economy since the 1980s. For this purpose, we estimate a Japanese financial accelerator model, which is a modified version of...

Standard theoretical models predict that higher inflation expectations generate greater current consumer spending at the zero lower bound of interest rates. However, a recent empirical study using US micro data finds negative results for this relationship. We use micro data for Japan, which has...

This paper generalizes the Golosov-Lucas model (GL model), a single sector menu cost model with idiosyncratic productivity shocks, to multisector setting. While the GL model matches some empirical facts, it cannot mimic decreasing hazard functions for price changes, which are observed in many...