Estimating the Expected Duration of the Zero Lower Bound in DSGE Models with Forward Guidance
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Mariano Kulish & James Morley & Tim Robinson, 2014. "Estimating the expected duration of the zero lower bound in DSGE models with forward guidance," Discussion Papers 2014-32, School of Economics, The University of New South Wales.
References listed on IDEAS
- Adam Cagliarini & Mariano Kulish, 2013.
"Solving Linear Rational Expectations Models with Predictable Structural Changes,"
The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 328-336, March.
- Adam Cagliarini & Mariano Kulish, 2008. "Solving Linear Rational Expectations Models with Predictable Structural Changes," RBA Research Discussion Papers rdp2008-10, Reserve Bank of Australia.
- Frank Smets & Rafael Wouters, 2007.
"Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,"
American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
- Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 722, European Central Bank.
- Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
- Frank Smets & Raf Wouters, 2007. "Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach," Working Paper Research 109, National Bank of Belgium.
- Ben S. Bernanke & Vincent R. Reinhart, 2004. "Conducting Monetary Policy at Very Low Short-Term Interest Rates," American Economic Review, American Economic Association, vol. 94(2), pages 85-90, May.
- Peter N. Ireland, 2004.
"Technology Shocks in the New Keynesian Model,"
The Review of Economics and Statistics, MIT Press, vol. 86(4), pages 923-936, November.
- Peter N. Ireland, 2002. "Technology Shocks in the New Keynesian Model," Boston College Working Papers in Economics 536, Boston College Department of Economics.
- Peter N. Ireland, 2004. "Technology Shocks in the New Keynesian Model," NBER Working Papers 10309, National Bureau of Economic Research, Inc.
- Peter Ireland, 2002. "Matlab code for Technology Shocks in the New Keynesian Model," QM&RBC Codes 48, Quantitative Macroeconomics & Real Business Cycles.
- De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
- Jeffrey R. Campbell & Charles L. Evans & Jonas D.M. Fisher & Alejandro Justiniano, 2012.
"Macroeconomic Effects of Federal Reserve Forward Guidance,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(1 (Spring), pages 1-80.
- Jeffrey R. Campbell & Charles L. Evans & Jonas D. M. Fisher & Alejandro Justiniano, 2012. "Macroeconomic effects of Federal Reserve forward guidance," Working Paper Series WP-2012-03, Federal Reserve Bank of Chicago.
- Jung, Taehun & Teranishi, Yuki & Watanabe, Tsutomu, 2005. "Optimal Monetary Policy at the Zero-Interest-Rate Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 813-835, October.
- Pagan, Adrian & Robinson, Tim, 2014. "Methods for assessing the impact of financial effects on business cycles in macroeconometric models," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 94-106.
- Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
- Michael D. Bauer & Glenn D. Rudebusch, 2016.
"Monetary Policy Expectations at the Zero Lower Bound,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1439-1465, October.
- Michael D. Bauer & Glenn D. Rudebusch, 2013. "Monetary Policy Expectations at the Zero Lower Bound," Working Paper Series 2013-18, Federal Reserve Bank of San Francisco.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mariano Kulish & James Morley & Tim Robinson, 2014. "Estimating DSGE models with forward guidance," Discussion Papers 2014-32A, School of Economics, The University of New South Wales.
- Eric Gaus, 2014. "Adaptive Learning, Heterogeneous Expectations and Forward Guidance," Working Papers 14-03, Ursinus College, Department of Economics.
- Gregor Bäurle & Daniel Kaufmann, 2018. "Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(6), pages 1243-1266, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mariano Kulish & James Morley & Tim Robinson, 2014. "Estimating DSGE models with forward guidance," Discussion Papers 2014-32A, School of Economics, The University of New South Wales.
- Kulish, Mariano & Morley, James & Robinson, Tim, 2017.
"Estimating DSGE models with zero interest rate policy,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 35-49.
- Mariano Kulish & James Morley & Tim Robinson, 2016. "Estimating DSGE models with Zero Interest Rate Policy," Discussion Papers 2014-32B, School of Economics, The University of New South Wales.
- De Graeve, Ferre & Queijo von Heideken, Virginia, 2015.
"Identifying fiscal inflation,"
European Economic Review, Elsevier, vol. 80(C), pages 83-93.
- De Graeve, Ferre & Queijo von Heideken, Virginia, 2013. "Identifying Fiscal Inflation," Working Paper Series 273, Sveriges Riksbank (Central Bank of Sweden).
- Qazi Haque, 2017.
"Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation,"
School of Economics Working Papers
2017-13, University of Adelaide, School of Economics.
- Qazi Haque, 2019. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," Economics Discussion / Working Papers 19-10, The University of Western Australia, Department of Economics.
- Qazi Haque, 2019. "Monetary policy, inflation target and the great moderation: An empirical investigation," CAMA Working Papers 2019-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics Working Papers 2017-10, University of Adelaide, School of Economics.
- Pagan, Adrian & Wickens, Michael R., 2019.
"Checking if the Straitjacket Fits,"
CEPR Discussion Papers
14140, C.E.P.R. Discussion Papers.
- Adrian Pagan & Michael Wickens, 2019. "Checking if the straitjacket fits," CAMA Working Papers 2019-81, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Andrew Binning & Junior Maih, 2016.
"Implementing the zero lower bound in an estimated regime-switching DSGE model,"
Working Paper
2016/3, Norges Bank.
- Andrew Binning & Junior Maih, 2016. "Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model," Working Papers No 3/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2017.
"Forward Guidance And The State Of The Economy,"
Economic Inquiry, Western Economic Association International, vol. 55(4), pages 1593-1624, October.
- William T. Gavin & Benjamin D. Keen & Alexander W. Richter & Nathaniel Throckmorton, 2013. "The stimulative effect of forward guidance," Working Papers 2013-38, Federal Reserve Bank of St. Louis.
- Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2015. "Forward Guidance and the State of the Economy," Auburn Economics Working Paper Series auwp2015-10, Department of Economics, Auburn University.
- Harrison, Richard, 2015.
"Estimating the effects of forward guidance in rational expectations models,"
European Economic Review, Elsevier, vol. 79(C), pages 196-213.
- Richard Harrison, 2014. "Estimating the Effects of Forward Guidance in Rational Expectations Models," Discussion Papers 1429, Centre for Macroeconomics (CFM).
- Florin O. Bilbiie, 2019.
"Optimal Forward Guidance,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 11(4), pages 310-345, October.
- Bilbiie, Florin Ovidiu, 2016. "Optimal Forward Guidance," CEPR Discussion Papers 11251, C.E.P.R. Discussion Papers.
- Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2017.
"Forward Guidance And The State Of The Economy,"
Economic Inquiry, Western Economic Association International, vol. 55(4), pages 1593-1624, October.
- Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2015. "Forward Guidance and the State of the Economy," Auburn Economics Working Paper Series auwp2015-10, Department of Economics, Auburn University.
- Benjamin D. Keen & Alexander W. Richter & Nathaniel A. Throckmorton, 2016. "Forward guidance and the state of the economy," Working Papers 1612, Federal Reserve Bank of Dallas.
- Siddhartha Chib & Srikanth Ramamurthy, 2014. "DSGE Models with Student- t Errors," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 152-171, June.
- Callum Jones & Mariano Kulish, 2016.
"A graphical representation of an estimated DSGE model,"
Applied Economics, Taylor & Francis Journals, vol. 48(6), pages 483-489, February.
- Kulish, Mariano & Jones, Callum, 2011. "A Graphical Representation of an Estimated DSGE Model," Dynare Working Papers 3, CEPREMAP.
- Negro, Marco Del & Schorfheide, Frank, 2013.
"DSGE Model-Based Forecasting,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.),Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140,
Elsevier.
- Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
- Octavio Portolano Machado & Carlos Carvalho & Tiago Berriel, 2015. "Lift-off Uncertainty: What Can We Infer From the FOMC's Summary of Economic Projections?," 2015 Meeting Papers 903, Society for Economic Dynamics.
- R. Anton Braun & Yuichiro Waki, 2006.
"Monetary Policy During Japan'S Lost Decade,"
The Japanese Economic Review, Japanese Economic Association, vol. 57(2), pages 324-344, June.
- R. Anton Braun & Yuichiro Waki, 2005. "Monetary Policy during Japan's Lost Decade," CARF F-Series CARF-F-035, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- R. Anton Braun & Yuichiro Waki, 2005. "Monetary Policy during Japan's Lost Decade," CIRJE F-Series CIRJE-F-343, CIRJE, Faculty of Economics, University of Tokyo.
- Inoue, Atsushi & Kuo, Chun-Hung & Rossi, Barbara, 2020.
"Identifying the sources of model misspecification,"
Journal of Monetary Economics, Elsevier, vol. 110(C), pages 1-18.
- Inoue, Atsushi & Kuo, Chun-Hung & Rossi, Barbara, 2014. "Identifying the Sources of Model Misspecification," CEPR Discussion Papers 10140, C.E.P.R. Discussion Papers.
- Atsushi Inoue & Chun-Huong Kuo & Barbara Rossi, 2015. "Identifying the Sources of Model Misspecification," Working Papers 821, Barcelona Graduate School of Economics.
- Atsushi Inoue & Chun-Hung Kuo & Barbara Rossi, 2015. "Identifying the sources of model misspecification," Economics Working Papers 1479, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2018.
- Adam, Klaus & Billi, Roberto M., 2006.
"Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1877-1905, October.
- Adam, Klaus & Billi, Roberto M, 2003. "Optimal Monetary Policy Under Commitment with a Zero Bound on Nominal Interest Rates," CEPR Discussion Papers 4111, C.E.P.R. Discussion Papers.
- Adam, Klaus & Billi, Roberto M., 2004. "Optimal monetary policy under commitment with a zero bound on nominal interest rates," Working Paper Series 377, European Central Bank.
- Roberto M. Billi & Klaus Adam, 2004. "Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates," Computing in Economics and Finance 2004 67, Society for Computational Economics.
- Adam, Klaus & Billi, Roberto M., 2004. "Optimal monetary policy under commitment with a zero bound on nominal interest rates," CFS Working Paper Series 2004/13, Center for Financial Studies (CFS).
- Klaus Adam & Roberto M. Billi, 2004. "Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates," CFS Working Paper Series 2004/13, Center for Financial Studies.
- Klaus Adam & Roberto M. Billi, 2005. "Optimal monetary policy under commitment with a zero bound on nominal interest rates," Research Working Paper RWP 05-07, Federal Reserve Bank of Kansas City.
- Justiniano, Alejandro & Preston, Bruce, 2010.
"Can structural small open-economy models account for the influence of foreign disturbances?,"
Journal of International Economics, Elsevier, vol. 81(1), pages 61-74, May.
- Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account For The Influence Of Foreign Disturbances?," CAMA Working Papers 2006-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," 2006 Meeting Papers 479, Society for Economic Dynamics.
- Alejandro Justiniano & Bruce Preston, 2009. "Can structural small open economy models account for the influence of foreign disturbances?," Working Paper Series WP-09-19, Federal Reserve Bank of Chicago.
- Alejandro Justiniano & Bruce Preston, 2008. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," NBER Working Papers 14547, National Bureau of Economic Research, Inc.
- Kaoru Hosono & Shogo Isobe, "undated". "The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan," Discussion papers ron259, Policy Research Institute, Ministry of Finance Japan.
More about this item
Keywords
Zero lower bound; forward guidance;JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2014-08-20 (Dynamic General Equilibrium)
- NEP-MAC-2014-08-20 (Macroeconomics)
- NEP-MON-2014-08-20 (Monetary Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iae:iaewps:wp2014n16. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sheri Carnegie). General contact details of provider: http://edirc.repec.org/data/mimelau.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.