This paper employs an approximation that makes a nonlinear term structure model
extremely tractable for analysis of an economy operating near the zero lower
bound for interest rates. We show that such a model offers an excellent
description of the data compared to the benchmark model and can be used to
summarize the macroeconomic effects of unconventional monetary policy. Our
estimates imply that ... hiện toàn bộ
We examine whether the U.S. rate of price inflation has become harder to
forecast and, to the extent that it has, what changes in the inflation process
have made it so. The main finding is that the univariate inflation process is
well described by an unobserved component trend‐cycle model with stochastic
volatility or, equivalently, an integrated moving average process with
time‐varying parameters... hiện toàn bộ
Andrea Gerali, Stefano Neri, Luca Sessa, Federico Maria Signoretti
This paper studies the role of credit supply factors in business cycle
fluctuations using a dynamic stochastic general equilibrium (DSGE) model with
financial frictions enriched with an imperfectly competitive banking sector.
Banks issue collateralized loans to both households and firms, obtain funding
via deposits, and accumulate capital out of retained earnings. Loan margins
depend on the banks'... hiện toàn bộ