Changing Macroeconomic Dynamics at the Zero Lower Bound
构建了一个变点向量自回归模型，识别了美国自1960年代以来的四个主要宏观体制，分析了关键变量的统计性质变化，并评估了美联储大规模资产购买对失业率和通胀的影响。
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.