Changing macroeconomic dynamics at the zero lower bound
This article develops a change-point VAR model that isolates four major macroeconomic regimes in the US since the 1960s. The model identifies shocks to demand, supply, monetary policy, and spread yield using restrictions from a general equilibrium model. The analysis discloses important changes to t...
| Auteurs principaux: | , , , |
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| Format: | Journal article |
| Publié: |
Taylor and Francis
2018
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| _version_ | 1826261306586431488 |
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| author | Liu, P Theodoridis, K Mumtaz, H Zanetti, F |
| author_facet | Liu, P Theodoridis, K Mumtaz, H Zanetti, F |
| author_sort | Liu, P |
| collection | OXFORD |
| description | This article develops a change-point VAR model that isolates four major macroeconomic regimes in the US since the 1960s. The model identifies shocks to demand, supply, monetary policy, and spread yield using restrictions from a general equilibrium model. The analysis discloses important changes to the statistical properties of key macroeconomic variables and their responses to the identified shocks. During the crisis period, spread shocks became more important for movements in unemployment and inflation. A counterfactual exercise evaluates the importance of lower bond-yield spread during the crises and suggests that the Fed’s large-scale asset purchases helped lower the unemployment rate by about 0.6 percentage points, while boosting inflation by about 1 percentage point. |
| first_indexed | 2024-03-06T19:19:19Z |
| format | Journal article |
| id | oxford-uuid:19847926-2a43-4564-8c29-cef9ded2839b |
| institution | University of Oxford |
| last_indexed | 2024-03-06T19:19:19Z |
| publishDate | 2018 |
| publisher | Taylor and Francis |
| record_format | dspace |
| spelling | oxford-uuid:19847926-2a43-4564-8c29-cef9ded2839b2022-03-26T10:49:25ZChanging macroeconomic dynamics at the zero lower boundJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:19847926-2a43-4564-8c29-cef9ded2839bSymplectic Elements at OxfordTaylor and Francis2018Liu, PTheodoridis, KMumtaz, HZanetti, FThis article develops a change-point VAR model that isolates four major macroeconomic regimes in the US since the 1960s. The model identifies shocks to demand, supply, monetary policy, and spread yield using restrictions from a general equilibrium model. The analysis discloses important changes to the statistical properties of key macroeconomic variables and their responses to the identified shocks. During the crisis period, spread shocks became more important for movements in unemployment and inflation. A counterfactual exercise evaluates the importance of lower bond-yield spread during the crises and suggests that the Fed’s large-scale asset purchases helped lower the unemployment rate by about 0.6 percentage points, while boosting inflation by about 1 percentage point. |
| spellingShingle | Liu, P Theodoridis, K Mumtaz, H Zanetti, F Changing macroeconomic dynamics at the zero lower bound |
| title | Changing macroeconomic dynamics at the zero lower bound |
| title_full | Changing macroeconomic dynamics at the zero lower bound |
| title_fullStr | Changing macroeconomic dynamics at the zero lower bound |
| title_full_unstemmed | Changing macroeconomic dynamics at the zero lower bound |
| title_short | Changing macroeconomic dynamics at the zero lower bound |
| title_sort | changing macroeconomic dynamics at the zero lower bound |
| work_keys_str_mv | AT liup changingmacroeconomicdynamicsatthezerolowerbound AT theodoridisk changingmacroeconomicdynamicsatthezerolowerbound AT mumtazh changingmacroeconomicdynamicsatthezerolowerbound AT zanettif changingmacroeconomicdynamicsatthezerolowerbound |