On the Empirical (Ir)Relevance of the Zero Lower Bound Constraint

Davide Debortoli, Galí, Jordi and Luca Gambetti
Authors registered in the RePEc Author Service: Jordi Galí

No 12691, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We estimate a time-varying structural VAR that describes the dynamic responses of a number of U.S. macro variables to different identified shocks. We find no significant changes in the estimated responses over the period when the federal funds rate attained the zero lower bound (ZLB). This result is consistent with the hypothesis of "perfect substitutability" between conventional and unconventional monetary policies. Montecarlo simulations based on artificial time series generated from a standard New Keynesian model point to the validity of our empirical approach to detect the changes in equilibrium dynamics associated with ZLB episodes.

Keywords: Regime changes; Liquidity trap; Unconventional monetary policies; Time-varying structural vector-autoregressive models (search for similar items in EconPapers)
JEL-codes: E44 E52 (search for similar items in EconPapers)
Date: 2018-02
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://cepr.org/publications/DP12691 (application/pdf)

Related works:
Journal Article: On the Empirical (Ir)Relevance of the Zero Lower Bound Constraint (2020)
Chapter: On the Empirical (Ir)relevance of the Zero Lower Bound Constraint (2019)
Working Paper: On the Empirical (Ir)Relevance of the Zero Lower Bound Constraint (2019)
Working Paper: On the empirical (ir)relevance of the zero lower bound constraint (2019)
Working Paper: On the Empirical (Ir)Relevance of the Zero Lower Bound Constraint (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:12691

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP12691

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().