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2016-03-07Diskussionspapier 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.issued2016-03-07
dc.date.submitted2016-03-07
dc.identifier.issn1860-5664
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.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectNew Keynesian modeleng
dc.subjectZLBeng
dc.subjectTime-varying parameterseng
dc.subjectMethod of momentseng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleThe importance of timevaryingparametersin new Keynesian modelswith zero lower bound
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100243451
dc.identifier.doihttp://dx.doi.org/10.18452/4624
local.edoc.pages16
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2016
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2016,13

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