G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4160
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
URLhttps://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.
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