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Brzoza-Brzezina Michał (Warsaw School of Economics, Poland)
Why may large economies suffer more at the zero lower bound?
Collegium of Economic Analysis SGH - Working Papers, 2016, nr 12, 18 s., rys., wykr., tab., bibliogr. 20 poz.
Słowa kluczowe
Gospodarka otwarta, Stopa procentowa, Strategia banku centralnego, Ryzyko stopy procentowej
Open economy, Interest rate, Central bank strategy, Interest rate risk
This paper compares the consequences of hitting the zero lower bound in small open and large closed economies. I costruct a two-economy New Kenynesian model and calibrate it so that one economy is small and open and the second large and closed. Then I conduct a number of experiments assuming that the zero lower bound binds for one or the other economy. At the ZLB bad shocks are amplified and good shocks dampened. I show that these modifications are much stronger in the large than in the small economy. As a result the large economy may suffer more at the ZLB. (original abstract)
Pełny tekst
  1. Adam, Klaus, Roberto M. Billi (2006) `Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates', "Journal of Money, Credit and Banking", 38(7), 18771905.
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  3. Adolfson, Malin, Stefan Laseen, Jesper Linde, Mattias Villani (2007) `Bayesian estimation of an open economy DSGE model with incomplete passthrough', "Journal of International Economics", 72(2), 481-511.
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  11. End, Jan Willem van den (2014) `The breakdown of the money multiplier at the zero lower bound', "Applied Economics Letters", 21(13), 875-877.
  12. Erceg, Christopher J., Luca Guerrieri, and Christopher Gust (2006) `SIGMA: A New Open Economy Model for Policy Analysis', "International Journal of Central Banking".
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  14. Guerrieri, Luca, and Matteo Iacoviello (2015) `OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily', "Journal of Monetary Economics 70(C), 22-38.
  15. Gust, Christopher, David Lopez-Salido, and Matthew E. Smith (2012) `The empirical implications of the interest-rate lower bound', Finance and Economics Discussion Series 2012-83, Board of Governors.
  16. Kolasa, Marcin (2009) `Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model', "Economic Modelling", 26(6), 1245-1269.
  17. Nakov, Anton (2008) `Optimal and Simple Monetary Policy Rules with Zero Floor on the Nominal Interest Rate', "International Journal of Central Banking", 4(2), 73-127.
  18. Neri, Stefano, and Alessandro Notarpietro (2014) `Ination, debt and the zero lower bound', Questioni di Economia e Finanza (Occasional Papers) 242, Bank of Italy, October.
  19. Smets, Frank, and Raf Wouters (2005) `Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach', "J. of Applied Econometrics", 20(2), 161-183.
  20. Svensson, Lars E.O. (2003) `Escaping from a Liquidity Trap and Deation: The Foolproof Way and Others', "Journal of Economic Perspectives", 17(4), 145-166.
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