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2016-03-07Buch DOI: 10.18452/4624
The importance of timevaryingparametersin new Keynesian modelswith zero lower bound
dc.contributor.authorAlbertini, Julien
dc.contributor.authorLan, Hong
dc.date.accessioned2017-06-16T01:23:58Z
dc.date.available2017-06-16T01:23:58Z
dc.date.created2017-02-03
dc.date.issued2016-03-07none
dc.date.submitted2016-03-07
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5276
dc.description.abstractIn this paper we question the ability of New Keynesian models to reproduce the behavior of the nominal interest rate. In particular, we wonder if the model is able to reproduce infrequent but long ZLB spells as observed in the data. Starting from the canonical model, we compare alternative specifications like exogenous and endoge- nous time-varying parameters. We solve the different models with global approxima- tion methods and estimate them using the simulated method of moments. While the canonical model fails to reproduce typical ZLB spells, the endogenous time-varying parameters specification seems to be a promising avenue for research. We draw the implications of the alternative model’s specifications for the understanding of the mon- etary policy during ZLB episodes.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.relation.ispartofseriesSonderforschungsbereich 649: Ökonomisches Risiko - 13, SFB 649 Papers, ISSN:1860-5664
dc.subjectNew Keynesian modeleng
dc.subjectZLBeng
dc.subjectTime-varying parameterseng
dc.subjectMethod of momentseng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleThe importance of timevaryingparametersin new Keynesian modelswith zero lower bound
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100243451
dc.identifier.doihttp://dx.doi.org/10.18452/4624
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.container-titleSFB 649 Papers
local.edoc.container-issn1860-5664
local.edoc.pages16
local.z-edoc.journal-periodikumAusgabe13,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2016
local.edoc.container-issue13
local.edoc.container-year2016

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