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Foreign exchange interventions at the zero lower bound in the Czech economy : a DSGE approach

Malovaná, Simona - 2015

The paper contributes to understanding the economic dynamics at the zero lower bound and the exchange rate movements under different central bank intervention regimes. It provides a theoretical framework for modeling foreign exchange interventions at the ZLB within a dynamic general equilibrium...

Persistent link: https://www.econbiz.de/10010532424

Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan

Iiboshi, Hirokuni - 2018

We estimate a small-scale nonlinear DSGE model with the zero lower bound (ZLB) of the nominal interest rate for Japan, where the ZLB has constrained the country's monetary policy for a considerably long period. We employ the time iteration with linear interpolation method to solve equilibrium...

Persistent link: https://www.econbiz.de/10012913310

An interest rate rule to uniquely implement the optimal equilibrium in a liquidity trap

Duarte, Fernando; Zabai, Anna - 2015

We propose a new interest rate rule that implements the optimal equilibrium and eliminates all indeterminacy in a canonical New Keynesian model in which the zero lower bound on nominal interest rates (ZLB) is binding. The rule commits to zero nominal interest rates for a length of time that...

Persistent link: https://www.econbiz.de/10011346620

How to escape a liquidity trap with interest rate rules

Duarte, Fernando - 2016

I give necessary and sufficient conditions under which interest-rate feedback rules eliminate aggregate instability by inducing a globally unique optimal equilibrium in a canonical New Keynesian economy with a binding zero lower bound. I consider a central bank that initially keeps interest...

Persistent link: https://www.econbiz.de/10011477354

Are Nonlinear Methods Necessary at the Zero Lower Bound?

Richter, Alexander W. - 2016

This paper examines the importance of using nonlinear methods to account for the zero lower bound (ZLB) on the Fed's policy rate. We estimate three models with a particle filter: (1) a nonlinear model with a ZLB constraint; (2) a constrained linear model that imposes the constraint in the filter...

Persistent link: https://www.econbiz.de/10012985718

Are nonlinear methods necessary at the zero lower bound?

Richter, Alexander W.; Throckmorton, Nathaniel A. - 2016

This paper examines the importance of the zero lower bound (ZLB) constraint on the nominal interest rate by estimating three variants of a small-scale New Keynesian model: (1) a nonlinear model with an occassionally binding ZLB constraint; (2) a constrained linear model, which imposes the...

Persistent link: https://www.econbiz.de/10011567895

Exchange rate and price dynamics at the zero lower bound : conference paper

Bäurle, Gregor; Kaufmann, Daniel - 2013

In this paper, we analyse nominal exchange rate and price dynamics after risk shocks with short-term interest rates … constrained by the zero lower bound (ZLB). We show with a stylized theoretical model that temporary risk shocks may lead to … the price level to a temporary risk shock are permanent. Our theoretical discussion shows that adopting a credible long …

Persistent link: https://www.econbiz.de/10010340556

Forward guidance in a simple model with a zero lower bound

Illing, Gerhard; Siemsen, Thomas - 2014 - First Version: December 2013

In this paper we present a three period setup to model central bank forward guidance in a liquidity trap. We analyze the role of long-run and short-run price stickiness under discretion and commitment in a straightforward and intuitive way. Despite the impact of price rigidity on welfare being...

Persistent link: https://www.econbiz.de/10010257354

Pure theory of the federal funds rate

Homburg, Stefan - 2016

competitive interbank market. The paper proposes a theory of its determination. This yields a specific term structure of interest …

Persistent link: https://www.econbiz.de/10011517427

Forward guidance at the zero lower bound in a model of price-level targeting

Illing, Gerhard; Siemsen, Thomas - 2015 - First Version: December 2013, This Version: February 9, 2015

We study monetary policy at the ZLB in a traceable three-period model, in which price-level targeting emerges endogenously in the welfare function. We characterize optimal price-level forward guidance under discretion and commitment. Potentially non-monotonic discretionary welfare losses are...

Persistent link: https://www.econbiz.de/10010481126

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