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US business cycle dynamics at the zero lower bound
Böhl, Gregor; Strobel, Felix - 2020
Using a nonlinear Bayesian likelihood approach that fully accounts for the lower bound on nominal interest rates, we analyze US post-crisis macroeconomic dynamics and provide reference parameter estimates. We find that despite the attention received in the literature, neither the inclusion of...
Persistent link: https://www.econbiz.de/10012406022
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Existence and uniqueness of solutions to dynamic models with occasionally binding constraints
Holden, Tom D. - 2022
Occasionally binding constraints (OBCs) like the zero lower bound (ZLB) can lead to multiple equilibria, and so to belief-driven recessions. To aid in finding policies that avoid this, we derive existence and uniqueness conditions for otherwise linear models with OBCs. Our main result gives...
Persistent link: https://www.econbiz.de/10013164715
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The optimal conduct of central bank asset purchases
Darracq Pariès, Matthieu; Kühl, Michael - 2017
We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the model, central bank asset purchases are relevant in so far as agency costs distort banks' asset allocation between loans and bonds, and households face transaction costs when...
Persistent link: https://www.econbiz.de/10011685100
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Expectations formation, sticky prices, and the ZLB
Bersson, Betsy; Hürtgen, Patrick; Paustian, Matthias - 2019
At the zero lower bound (ZLB), expectations about the future path of monetary or fiscal policy are crucial. We model expectations formation under level-k thinking, a form of bounded rationality introduced by García-Schmidt and Woodford (2019) and Farhi and Werning (2017), consistent with...
Persistent link: https://www.econbiz.de/10012101259
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The effect of conventional and unconventional euro area monetary policy on macroeconomic variables
Halberstadt, Arne; Krippner, Leo - 2016
We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...
Persistent link: https://www.econbiz.de/10011578396
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The quantitative importance of technology and demand shocks for unemployment fluctuations in a shopping economy
Borys, Pawel; Doligalski, Pawel; Kopiec, Pawel - 2021
Persistent link: https://www.econbiz.de/10012821407
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Below the zero lower bound : a shadow-rate term structure model for the euro area
Lemke, Wolfgang; Vladu, Andreea L. - 2016
forecasts of short-term rates during the low-rate period and by capturing the decline in yield volatility. The model implies …
Persistent link: https://www.econbiz.de/10011532627
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The hockey stick Phillips curve and the effective lower bound
Böhl, Gregor; Lieberknecht, Philipp - 2021
We show that if business cycles are driven by financial shocks, the interplay between the effective lower bound (ELB) and the costs of external financing can generate an additional supply-side channel, which causes a disconnect between inflation and output. In normal times, factor costs dominate...
Persistent link: https://www.econbiz.de/10012792813
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012222610
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International capital flows, external assets and output volatility
Hoffmann, Mathias; Krause, Michael; Tillmann, Peter - 2014
average higher volatility of output growth (1) accumulated higher external assets in the long-run and (2) experienced more … higher uncertainty of the income stream increases the precautionary savings motive of households. They have a desire to save … and a precautionary savings motive will lead to procyclical capital out ows at business cycle frequency and a higher long …
Persistent link: https://www.econbiz.de/10010433418