The Empirical Implications of the Interest-Rate Lower Bound
Christopher J. Gust,
David Lopez-Salido (),
Matthew Smith () and
Edward Herbst ()
Additional contact information
Christopher J. Gust: Northwestern University
No 2012-83, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)
Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the U.S. economy to the lower bound in late 2008 as well as the contribution of the lower bound constraint to the resulting economic slump. We find that the interest-rate lower bound was a significant constraint on monetary policy that exacerbated the recession and inhibited the recovery, as our mean estimates imply that the zero lower bound (ZLB) accounted for about 30 percent of the sharp contraction in U.S. GDP that occurred in 2009 and an even larger fraction of the slow recovery that followed.
JEL-codes: C11 C32 E32 E52 (search for similar items in EconPapers)
Date: 2012, Revised 2016-02-12
New Economics Papers: this item is included in nep-dge, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (78) Track citations by RSS feed
Downloads: (external link)
https://www.federalreserve.gov/pubs/feds/2012/201283/201283pap.pdf Full text (Original) (application/pdf)
https://www.federalreserve.gov/econresdata/feds/2012/files/201283r1pap.pdf Full text (2nd Revision) (application/pdf)
https://www.federalreserve.gov/econresdata/feds/2012/files/201283pap.pdf Full text (1st Revision) (application/pdf)
Journal Article: The Empirical Implications of the Interest-Rate Lower Bound (2017)
Working Paper: The Empirical Implications of the Interest-Rate Lower Bound (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2012-83
Access Statistics for this paper
More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().