Replication data for: The Empirical Implications of the Interest-Rate Lower Bound
Principal Investigator(s): View help for Principal Investigator(s) Christopher Gust; Edward Herbst; David López-Salido; Matthew E. Smith
Version: View help for Version V1
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Project Citation:
Gust, Christopher, Herbst, Edward, López-Salido, David, and Smith, Matthew E. Replication data for: The Empirical Implications of the Interest-Rate Lower Bound. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E112895V1
Project Description
Summary:
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Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the US economy to the lower bound in late 2008 as well as the contribution of the lower bound constraint to the resulting economic slump. We find that the interest-rate lower bound was a significant constraint on monetary policy that exacerbated the recession and inhibited the recovery, as our mean estimates imply that the zero lower bound (ZLB) accounted for about 30 percent of the sharp contraction in US GDP that occurred in 2009 and an even larger fraction of the slow recovery that followed.
Scope of Project
JEL Classification:
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E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
E23 Macroeconomics: Production
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
G01 Financial Crises
E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
E23 Macroeconomics: Production
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
G01 Financial Crises
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