Gerke, Rafael Giesen, Sebastian Scheer, F. Alexander
Year of Publication:
Bundesbank Discussion Paper No. 03/2020
We quantify the macroeconomic effects of interest rate forward guidance in an estimated medium-scale two-agent New Keynesian (TANK) model. In general, such models can dampen or amplify the power of forward guidance compared to a representative agent model. Our empirical estimates indicate a dampening, as there is sufficient countercyclical redistribution.An interaction with asset purchases gives rise to non-linear effects that depend on the horizon of forward guidance.
Forward Guidance Hand-to-mouth households Redistribution Bayesian Estimation Asset purchase program