| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15923 |
| DP15923 SVARs With Occasionally-Binding Constraints | |
| Borağan Aruoba; Marko Mlikota; Frank Schorfheide; Sergio Villalvazo | |
| 发表日期 | 2021-03-15 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We develop a structural VAR in which an occasionally-binding constraint generates censoring of one of the dependent variables. Once the censoring mechanism is triggered, we allow some of the coefficients for the remaining variables to change. We show that a necessary condition for a unique reduced form is that regression functions for the non-censored variables are continuous at the censoring point and that parameters satisfy some mild restrictions. In our application the censored variable is a nominal interest rate constrained by an effective lower bound (ELB). According to our estimates based on U.S. data, once the ELB becomes binding, the coefficients in the inflation equation change significantly, which translates into a change of the inflation responses to (unconventional) monetary policy and demand shocks. Our results suggest that the presence of the ELB is indeed empirically relevant for the propagation of shocks. We also obtain a shadow interest rate that shows a significant accommodation in the early parts of the Great Recession, followed by a mild and steady accommodation until liftoff in 2016. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Bayesian inference Effective lower bound Limited dependent variables Sequential monte carlo methods Structural vars Shadow rate |
| URL | https://cepr.org/publications/dp15923 |
| 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/544914 |
| 推荐引用方式 GB/T 7714 | Borağan Aruoba,Marko Mlikota,Frank Schorfheide,et al. DP15923 SVARs With Occasionally-Binding Constraints. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
