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来源类型Working Paper
规范类型报告
DOI10.3386/w22856
来源IDWorking Paper 22856
A Shadow Rate New Keynesian Model
Jing Cynthia Wu; Ji Zhang
发表日期2016-11-28
出版年2016
语种英语
摘要We propose a tractable and coherent framework that captures both conventional and unconventional monetary policies with the shadow fed funds rate. Empirically, we document the shadow rate's resemblance to an overall financial conditions index, various private interest rates, the Fed's balance sheet, and the Taylor rule. Theoretically, we demonstrate the impact of unconventional policies, such as QE and lending facilities, on the economy is identical to that of a negative shadow rate, making the latter a useful summary statistic for these policies. Our model generates the data-consistent result: a negative supply shock is always contractionary. It also salvages the New Keynesian model from the zero lower bound induced structural break.
主题Macroeconomics ; Macroeconomic Models ; Monetary Policy ; Fiscal Policy
URLhttps://www.nber.org/papers/w22856
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/580530
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GB/T 7714
Jing Cynthia Wu,Ji Zhang. A Shadow Rate New Keynesian Model. 2016.
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