全球智库信息集成服务系统(G2TT): A Shadow Rate New Keynesian Model

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22856
来源ID	Working 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
URL	https://www.nber.org/papers/w22856
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/580530
推荐引用方式 GB/T 7714	Jing Cynthia Wu,Ji Zhang. A Shadow Rate New Keynesian Model. 2016.