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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. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w22856.pdf(563KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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