Uncovering the Effects of the Zero Lower Bound with an Endogenous Financial Wedge
使用不完全市场新凯恩斯模型，研究零利率下限与资产价格借贷约束同时存在时，如何通过资产甩卖恶性循环放大金融危机，并重新解释代表性代理人模型中零利率下限效应微弱的原因。
We study the effects of the zero lower bound (ZLB) on the severity of financial crises using an incomplete markets New Keynesian model with two occasionally binding constraints: a ZLB on the nominal interest rate and a borrowing constraint tied to an asset price. The model’s financial wedge corresponds to an endogenous multiplier on the borrowing constraint. Binding ZLB exacerbates financial crises through its interaction with the asset fire sale vicious cycle, driving up the financial wedge. Our results offer a novel reinterpretation of the negligible effect of the ZLB in representative agent New Keynesian models with exogenous wedges.