| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4160 |
| DP4160 Strategic Asset Allocation in a Continuous Time VAR Model | |
| John Y Campbell; Luis Viceira; Jorge Rodriguez; George Chacko | |
| 发表日期 | 2003-12-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We compute the optimal non-linear interest rate policy under commitment for a forward-looking stochastic model with monopolistic competition and sticky prices when nominal interest rates are bounded below by zero. When the lower bound binds, the optimal policy is to reduce the real rate by generating inflation expectations. This is achieved by committing to increase future interest rates by less than what purely forward-looking policy would suggest. As a result, there is a ?commitment bias?, i.e., average output and inflation turn out to be higher than their target values. Calibrating the model to the US economy we find that the quantitative importance of the average effects on output and inflation are negligible. Moreover, the empirical magnitude of US mark-up shocks is too small to entail zero nominal interest rates. Real rate shocks, however, plausibly lead to a binding lower bound under optimal policy, albeit relatively infrequently. Interestingly, the presence of binding real rate shocks alters the optimal policy response to (non-binding) mark-up shocks. |
| 主题 | International Macroeconomics |
| 关键词 | C63 Non-linear optimal policy Zero interest rate bound Commitment Liquidity trap New keynesian |
| URL | https://cepr.org/publications/dp4160 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533131 |
| 推荐引用方式 GB/T 7714 | John Y Campbell,Luis Viceira,Jorge Rodriguez,et al. DP4160 Strategic Asset Allocation in a Continuous Time VAR Model. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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