Arbeitspapier
US business cycle dynamics at the zero lower bound
Using a nonlinear Bayesian likelihood approach that fully accounts for the lower bound on nominal interest rates, we analyze US post-crisis macroeconomic dynamics and provide reference parameter estimates. We find that despite the attention received in the literature, neither the inclusion of financial frictions nor that of household heterogeneity improves the empirical fit of the standard model or its ability to provide a joint explanation for the post-2007 dynamics. Associated financial shocks mis-predict an increase in consumption. We illustrate that the common practice of omitting the ZLB period in the estimation severely distorts the analysis of the latest economic dynamics.
- ISBN
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978-3-95729-803-4
- Language
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Englisch
- Bibliographic citation
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Series: Deutsche Bundesbank Discussion Paper ; No. 65/2020
- Classification
-
Wirtschaft
Bayesian Analysis: General
Computational Techniques; Simulation Modeling
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
- Subject
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Zero Lower Bound
Bayesian Estimation
Great Recession
Business Cycles
- Event
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Geistige Schöpfung
- (who)
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Böhl, Gregor
Strobel, Felix
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Böhl, Gregor
- Strobel, Felix
- Deutsche Bundesbank
Time of origin
- 2020
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