EconPapers    
Economics at your fingertips  
 

The Likelihood of Effective Lower Bound Events

Michal Franta

Working Papers from Czech National Bank

Abstract: This paper provides estimates of the probability of an economy hitting its effective lower bound (ELB) on the nominal interest rate and of the expected duration of such an event for eight advanced economies. To that end, a mean-adjusted panel vector autoregression with static interdependencies and the possibility of regime change is estimated. The simulation procedure produces ELB risk estimates for both the short term, where the current phase of the business cycle plays an important role, and the medium term, where the occurrence of an ELB situation is determined mainly by the equilibrium values of macroeconomic variables. The paper also discusses the ELB event probability estimates with respect to previous approaches used in the literature.

Keywords: Effective lower bound; ELB risk; mean adjustment; panel VAR; regime change (search for similar items in EconPapers)
JEL-codes: C11 E37 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-knm, nep-mac and nep-mon
Date: 2018-05
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2018_03.pdf

Related works:
Working Paper: The likelihood of effective lower bound events (2018) Downloads
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:cnb:wpaper:2018/3

Access Statistics for this paper

More papers in Working Papers from Czech National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Jan Babecky ().

 
Page updated 2019-08-31
Handle: RePEc:cnb:wpaper:2018/3