Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/334636 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
CESifo Working Paper No. 12280
Verlag: 
Munich Society for the Promotion of Economic Research - CESifo GmbH, Munich
Zusammenfassung: 
We estimate a New Keynesian model that allows endogenous transitions between a target equilibrium, with inflation fluctuating around the central bank's target and interest rates typically positive, and a low-inflation equilibrium, where the effective lower bound binds and de-anchored expectations keep inflation persistently below target. The model is estimated using Bayesian methods, employing an ensemble MCMC sampler with a particle filter to handle nonlinearities. We find that the United States remained in the target equilibrium after the global financial crisis, the euro area transitioned to the low-inflation equilibrium in 2015, with the subsequent inflation surge initiating a return to the target equilibrium in 2021, and Japan entered the low-inflation equilibrium in the early 2000s. Bayes factors strongly favor the equilibrium-transition model over an alternative specification in which the lower bound binds only occasionally and expectations remain anchored.
Schlagwörter: 
multiple equilibria
nonlinear estimation
particle filter
deflation
zero lower bound
natural interest rate
inflation expectations
JEL: 
C51
E31
E43
E52
Dokumentart: 
Working Paper
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