scholarly journals Assessing the Effects of the Zero-Interest-Rate Policy Through the Lens of a Regime-Switching DSGE Model

2014 ◽  
Author(s):  
Han Chen
Keyword(s):  
Interest Rate ◽  
Regime Switching ◽  
Dsge Model ◽  
Interest Rate Policy ◽  
Zero Interest Rate Policy ◽  
Rate Policy

scholarly journals Non-Linear Analysis of the Fisher Effect: In the Case of Japan

2017 ◽  
Vol 9 (11) ◽  
pp. 1
Author(s):  
Katsuhiro Sugita
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Error Correction ◽  
Fisher Effect ◽  
Interest Rate Policy ◽  
Vector Error Correction ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Zero Interest Rate Policy ◽  
Rate Policy

The Fisher effect has been commonly analyzed to investigate the long-run relationship between nominal interest rates and expected inflation rate, though it is rarely successful in finding the cointegration relationship as the Fisher effect states. In this paper, a Bayesian Markov switching vector error correction model is applied to analyze non-linearity in the Fisher effect in the case of Japan. We find that the Fisher effect holds in one regime although it does not hold in another regime when the nominal interest rate is stable and does not respond against disequilibrium by the monetary policy such as the zero interest rate policy. This model reveals non-linearity in the error correction mechanism of the Fisher effect in Japan.

scholarly journals Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium-Scale DSGE Model

2008 ◽  
Vol 40 (2-3) ◽  
pp. 505-521 ◽  
Author(s):  
JEAN-GUILLAUME SAHUC ◽  
FRANK SMETS
Keyword(s):  
Interest Rate ◽  
Dsge Model ◽  
Interest Rate Policy ◽  
Medium Scale ◽  
Rate Policy

Zero Interest Rate Policy and Economic Order 2016

2017 ◽  
Vol 50 (2) ◽  
pp. 101-103
Author(s):  
Ansgar Belke, ◽  
Gunther Schnabl
Keyword(s):  
Interest Rate ◽  
Economic Order ◽  
Interest Rate Policy ◽  
Zero Interest Rate Policy ◽  
Rate Policy

scholarly journals Numerical Analysis on“Trap of Credit Creation” in Macroeconomics under Zero-Interest-Rate Policy

2013 ◽  
Vol 24 ◽  
pp. 289-300
Author(s):  
Yu Murata ◽  
Tomohiro Inoue ◽  
Moto Kamiura
Keyword(s):  
Numerical Analysis ◽  
Interest Rate ◽  
Interest Rate Policy ◽  
Zero Interest Rate Policy ◽  
Credit Creation ◽  
Rate Policy

scholarly journals AN ESTIMATED DSGE MODEL WITH A DEFLATION STEADY STATE

2018 ◽  
Vol 24 (5) ◽  
pp. 1151-1185 ◽  
Author(s):  
Yasuo Hirose
Keyword(s):  
Monetary Policy ◽  
Steady State ◽  
Interest Rate ◽  
Global Financial Crisis ◽  
Japanese Economy ◽  
Dsge Model ◽  
Interest Rate Policy ◽  
Output Fluctuations ◽  
Rate Policy ◽  
The Global Financial Crisis

Benhabib et al. [(2001) Journal of Economic Theory 96, 40–69] argue that there exists a deflation steady state when the zero lower bound on the nominal interest rate is considered in a Taylor-type monetary policy rule. This paper estimates a medium-scale DSGE model with a deflation steady state for the Japanese economy during the period from 1999 to 2013, when the Bank of Japan conducted a zero interest rate policy and the inflation rate was almost always negative. Although the model exhibits equilibrium indeterminacy around the deflation steady state, a set of specific equilibria is selected by Bayesian methods. According to the estimated model, positive shocks to households’ preferences and wage markup, and a negative shock to monetary policy do not necessarily have an inflationary effect, in contrast to a standard model with a targeted-inflation steady state. An economy in the deflation equilibrium could experience unexpected volatility because of sunspot fluctuations, but it turns out that sunspot shocks have a limited effect on Japan’s output fluctuations and rather contribute to stabilizing the economy after the global financial crisis.

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