G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w28571
来源IDWorking Paper 28571
SVARs With Occasionally-Binding Constraints
S. Borağan Aruoba; Marko Mlikota; Frank Schorfheide; Sergio Villalvazo
发表日期2021-03-22
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Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Monetary Policy
URLhttps://www.nber.org/papers/w28571
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/586245
推荐引用方式
GB/T 7714
S. Borağan Aruoba,Marko Mlikota,Frank Schorfheide,et al. SVARs With Occasionally-Binding Constraints. 2021.
条目包含的文件
文件名称/大小 资源类型 版本类型 开放类型 使用许可
w28571.pdf(1291KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[S. Borağan Aruoba]的文章
[Marko Mlikota]的文章
[Frank Schorfheide]的文章
百度学术
百度学术中相似的文章
[S. Borağan Aruoba]的文章
[Marko Mlikota]的文章
[Frank Schorfheide]的文章
必应学术
必应学术中相似的文章
[S. Borağan Aruoba]的文章
[Marko Mlikota]的文章
[Frank Schorfheide]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w28571.pdf
格式: Adobe PDF
此文件暂不支持浏览

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。