What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices
利用利率和通胀的期权数据，在新凯恩斯模型中分析利率下限对通胀和利率分布的影响，发现目标均衡占主导，流动性陷阱均衡缺乏证据。
This paper analyzes the effects of the lower bound for interest rates on the distributions of inflation and interest rates. In a New Keynesian model with a lower bound, two equilibria emerge: policy is mostly unconstrained in the “target equilibrium,” whereas policy is mostly constrained in the “liquidity trap equilibrium.” Using options data on interest rates and inflation, we find forecast densities consistent with the target equilibrium and find no evidence in favor of the liquidity trap equilibrium. The lower bound has a sizable effect on the distribution of interest rates, but its impact on inflation is relatively modest.