Konferenzbeitrag
Time-Varying Risk Shocks and the Zero Lower Bound
This paper shows that increased volatility of Örm-level productivity can push the nominal interest rate to its lower bound with large amplification effects on macroeconomic aggregates. The framework combines a simple canonical Önancial accelerator model, time varying risk shocks, and a zero lower bound on the nominal interest rate. The amplification mechanism results from a portfolio re-balancing from households, who reduce capital investment in favor of risk-free bonds. Consequently, the capital loan volume decreases which then leads to a large decline in economic activity. We show that a substantial drop in output is accompanied by small changes in ináation. We, thus, also address the "Missing Deáation Puzzle" in the Phillips Curve literature.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: Monetary Policy IV ; No. C10-V2
- Klassifikation
-
Wirtschaft
- Thema
-
zero lower bound
credit channel
time-varying risk shocks
missing deáation puzzle
monetary policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Strobel, Johannes
Lee, Gabriel
Dorofeenko, Victor
Salyer, Kevin
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel, Hamburg
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Strobel, Johannes
- Lee, Gabriel
- Dorofeenko, Victor
- Salyer, Kevin
- ZBW - Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2019
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