Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
| Autor: | S. Boragan Aruoba, Frank Schorfheide, Pablo Cuba-Borda |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Inflation
DSGE Models Government Spending Multiplier Japan Multiple Equilibria Nonlinear Filtering Nonlinear Solution Methods Sunspots U.S. ZLB Economics and Econometrics media_common.quotation_subject Keynesian economics Zero lower bound 05 social sciences Deflation Interest rate Nominal interest rate Specification 0502 economics and business 8. Economic growth New Keynesian economics Dynamic stochastic general equilibrium Economics jel:E4 jel:E5 050207 economics jel:C5 media_common 050205 econometrics |
| Zdroj: | The Review of Economic Studies. 85:87-118 |
| ISSN: | 1467-937X 0034-6527 |
| DOI: | 10.1093/restud/rdx027 |
| Popis: | We propose and solve a small-scale New-Keynesian model with Markov sunspot shocks that move the economy between a targeted-inflation regime and a deflation regime and fit it to data from the U.S. and Japan. For the U.S. we find that adverse demand shocks have moved the economy to the zero lower bound (ZLB) in 2009 and an expansive monetary policy has kept it there subsequently. In contrast, Japan has experienced a switch to the deflation regime in 1999 and remained there since then, except for a short period. The two scenarios have drastically different implications for macroeconomic policies. Fiscal multipliers are about 20% smaller in the deflationary regime, despite the economy remaining at the ZLB. While a commitment by the central bank to keep rates near the ZLB doubles the fiscal multipliers in the targeted-inflation regime (U.S.), it has no effect in the deflation regime (Japan). |
| Databáze: | OpenAIRE |
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