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Estimating DSGE Models with Zero Interest Rate Policy

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Estimating DSGE Models with Zero Interest Rate Policy. / Kulish, Mariano; Morley, James; Robinson, Tim.
In: Journal of Monetary Economics, Vol. 88, 06.2017, p. 35-49.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Kulish, M, Morley, J & Robinson, T 2017, 'Estimating DSGE Models with Zero Interest Rate Policy', Journal of Monetary Economics, vol. 88, pp. 35-49. https://doi.org/10.1016/j.jmoneco.2017.05.003

APA

Kulish, M., Morley, J., & Robinson, T. (2017). Estimating DSGE Models with Zero Interest Rate Policy. Journal of Monetary Economics, 88, 35-49. https://doi.org/10.1016/j.jmoneco.2017.05.003

Vancouver

Kulish M, Morley J, Robinson T. Estimating DSGE Models with Zero Interest Rate Policy. Journal of Monetary Economics. 2017 Jun;88:35-49. Epub 2017 May 15. doi: 10.1016/j.jmoneco.2017.05.003

Author

Kulish, Mariano ; Morley, James ; Robinson, Tim. / Estimating DSGE Models with Zero Interest Rate Policy. In: Journal of Monetary Economics. 2017 ; Vol. 88. pp. 35-49.

Bibtex

@article{db084f27ed2a408d9010cfd9f869507b,
title = "Estimating DSGE Models with Zero Interest Rate Policy",
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{\textquoteright}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 {\textquoteleft}Taper tantrum{\textquoteright}. 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.",
keywords = "Zero lower bound, Forward guidance, Bayesian estimation",
author = "Mariano Kulish and James Morley and Tim Robinson",
year = "2017",
month = jun,
doi = "10.1016/j.jmoneco.2017.05.003",
language = "English",
volume = "88",
pages = "35--49",
journal = "Journal of Monetary Economics",
issn = "0304-3932",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Estimating DSGE Models with Zero Interest Rate Policy

AU - Kulish, Mariano

AU - Morley, James

AU - Robinson, Tim

PY - 2017/6

Y1 - 2017/6

N2 - 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.

AB - 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.

KW - Zero lower bound

KW - Forward guidance

KW - Bayesian estimation

U2 - 10.1016/j.jmoneco.2017.05.003

DO - 10.1016/j.jmoneco.2017.05.003

M3 - Journal article

VL - 88

SP - 35

EP - 49

JO - Journal of Monetary Economics

JF - Journal of Monetary Economics

SN - 0304-3932

ER -