Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146182
Authors: 
Albertini, Julien
Lan, Hong
Year of Publication: 
2016
Series/Report no.: 
SFB 649 Discussion Paper 2016-013
Abstract: 
In 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 endogenous time-varying parameters. We solve the different models with global approximation 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 monetary policy during ZLB episodes.
Subjects: 
New Keynesian model
ZLB
Time-varying parameters
Method of moments
JEL: 
E3
J6
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.