全球智库信息集成服务系统(G2TT): DP11405 Challenges for Central Banks' Macro Models

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP11405
	DP11405 Challenges for Central Banks' Macro Models
	Jesper Linde; Frank Smets; Rafael Wouters
发表日期	2016-07-22
出版年	2016
语种	英语
摘要	In this paper we discuss a number of challenges for structural macroeconomic models in the light of the Great Recession and its aftermath. It shows that a benchmark DSGE model that shares many features with models currently used by central banks and large international institutions has difficulty explaining both the depth and the slow recovery of the Great Recession. In order to better account for these observations, the paper analyses three extensions of the benchmark model. First, we estimate the model allowing explicitly for the zero lower bound constraint on nominal interest rates. Second, we introduce time-variation in the volatility of the exogenous disturbances to account for the non-Gaussian nature of some of the shocks. Third and finally, we extend the model with a financial accelerator and allow for time-variation in the endogenous propagation of financial shocks. All three extensions require that we go beyond the linear Gaussian assumptions that are standard in most policy models. We conclude that these extensions go some way in accounting for features of the Great Recession and its aftermath, but they do not suffice to address some of the major policy challenges associated with the use of non-standard monetary policy and macroprudential policies.
主题	Monetary Economics and Fluctuations
关键词	monetary policy Dsge Var models Regime-switching Zero lower bound Financial frictions Great recession Macroprudential policy Open economy
URL	https://cepr.org/publications/dp11405
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/540219
推荐引用方式 GB/T 7714	Jesper Linde,Frank Smets,Rafael Wouters. DP11405 Challenges for Central Banks' Macro Models. 2016.