nonlinear adventures at the zero lower bound（非线性冒险在零下限）.pdfVIP

Nonlinear Adventures at the Zero Lower Bound Jes˙s Fern·ndez-Villaverdey Grey Gordonz Pablo GuerrÛn-Quintanax Juan F. Rubio-RamÌrez{ May 3, 2012 We thank Michael Woodford for useful comments. We also thank Larry Christiano for explaining to us several aspects about his work on the topic. Keith Kuester provided valuable comments on earlier drafts. Beyond the usual disclaimer, we must note that any views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Atlanta, the Federal Reserve Bank of Philadelphia, or the Federal Reserve System. Finally, we also thank the NSF for Önancial support. yUniversity of Pennsylvania, NBER, CEPR, and FEDEA, jesusfv@ . zUniversity of Pennsylvania, greygordon@. xFederal Reserve Bank of Philadelphia, pablo.guerron@. {Duke University, Federal Reserve Bank of Atlanta, and FEDEA, juan.rubio-ramirez@ . 1 Abstract Motivated by the recent experience of the U.S. and the Eurozone, we describe the quantitative properties of a New Keynesian model with a zero lower bound (ZLB) on nominal interest rates, explicitly accounting for the nonlinearities that the bound brings. Besides showing how such a model can be e¢ ciently computed, we Önd that the behavior of the economy is substantially a§ected by the presence of the ZLB. In particular, we document 1) the unconditional and conditional probabilities of hitting the ZLB; 2) the unconditional and conditional probabilty distributions of the duration of a spell at the ZLB; 3) the responses of output to government expenditure shocks at the ZLB, 4) the distribution of shocks that send the economy to the ZLB; and 5) the distribution of shocks