Estimating the expected duration of the zero lower bound in DSGE models with forward guidance

Mariano Kulish, James Morley and Tim Robinson

No 2014-32, Discussion Papers from School of Economics, The University of New South Wales

Abstract: Motivated by the increasing use of forward guidance, we consider DSGE models in which the central bank holds the policy rate fixed for an extended period of time. Private agents' beliefs about how long the fixed-rate regime will last in uences current output and in ation. We estimate the structural parameters for US data and infer the expected duration of the zero lower bound regime. Our results suggest that the average expected duration is around 3 quarters and has varied significantly since the onset of the zero lower bound regime, with changes that can be related to the Federal Reserve's forward guidance.

Keywords: forward guidance; dsge estimation; zero lower bound; unconventional monetary policy; shadow rate (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2014-06
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 (5)

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Related works:
Working Paper: Estimating the Expected Duration of the Zero Lower Bound in DSGE Models with Forward Guidance (2014)
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