Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
在一个估计的小规模新凯恩斯模型中引入零利率下限约束和太阳黑子冲击，发现太阳黑子冲击可使经济从通胀接近目标转向通缩和低利率。非线性滤波分析表明，日本在1990年代末进入了通缩体制，而美国在大衰退后则没有。
We compute a sunspot equilibrium in an estimated small-scale New Keynesian model with a zero lower bound (ZLB) constraint on nominal interest rates and a full set of stochastic fundamental shocks. In this equilibrium, a sunspot shock can move the economy from a regime in which inflation is close to the central bank’s target to a regime in which the central bank misses its target, inflation rates are negative, and interest rates are close to zero with high probability. A non-linear filter is used to examine whether the U.S. in the aftermath of the Great Recession and Japan in the late 1990s transitioned to a deflation regime. The results are somewhat sensitive to the model specification, but on balance, the answer is affirmative for Japan and negative for the U.S.