Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/220351
Authors: 
Böhl, Gregor
Strobel, Felix
Year of Publication: 
2020
Series/Report no.: 
IMFS Working Paper Series 143
Abstract: 
Using a nonlinear Bayesian likelihood approach that fully accounts for the zero lower bound on nominal interest rates, the authors analyze US post-crisis business cycle dynamics and provide reference parameter estimates. They find that neither the inclusion of financial frictions nor that of household heterogeneity improve the empirical fit of the standard model, or its ability to provide a joint explanation for the post-2007 dynamics. Associated financial shocks mis-predict an increase in consumption. The common practice of omitting the ZLB period in the estimation severely distorts the analysis of the more recent economic dynamics.
Subjects: 
Zero Lower Bound
Bayesian Estimation
Great Recession
Business Cycles
JEL: 
C11
C63
E31
E32
E44
Document Type: 
Working Paper

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