Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan
通过估计一个小型非线性DSGE模型，研究了日本银行在零利率下限时期的货币政策规则类型、日本长期停滞的经济原因以及非线性模型在分析中的重要性。
Abstract Which type of monetary policy rule best describes the policy conducted by the Bank of Japan (BOJ) during the period when the nominal interest rate is constrained at the zero lower bound (ZLB)? What are the economic fundamentals that explain Japan's prolonged stagnation? How important is incorporating nonlinearities in the analysis? We answer these questions by estimating a small‐scale nonlinear dynamic stochastic general equilibrium (DSGE) model. We find that: the BOJ conducted a threshold‐based forward guidance policy; adverse demand shocks explain Japan's experience; and nonlinear models are very useful in the analysis of the Japanese economy during the ZLB period.