Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/228635 
Year of Publication: 
2020
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 65/2020
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
Using a nonlinear Bayesian likelihood approach that fully accounts for the lower bound on nominal interest rates, we analyze US post-crisis macroeconomic dynamics and provide reference parameter estimates. We find that despite the attention received in the literature, neither the inclusion of financial frictions nor that of household heterogeneity improves 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. We illustrate that the common practice of omitting the ZLB period in the estimation severely distorts the analysis of the latest economic dynamics.
Subjects: 
Zero Lower Bound
Bayesian Estimation
Great Recession
Business Cycles
JEL: 
C11
C63
E31
E32
E44
ISBN: 
978-3-95729-803-4
Document Type: 
Working Paper

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