메뉴 건너뛰기




Volumn 44, Issue SUPPL. 1, 2012, Pages 47-82

Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?

Author keywords

Large scale asset purchases; Model uncertainty; Zero lower bound

Indexed keywords


EID: 84863051382     PISSN: 00222879     EISSN: 15384616     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2011.00478.x     Document Type: Article
Times cited : (194)

References (46)
  • 1
    • 4544319035 scopus 로고    scopus 로고
    • Tobin's Imperfect Assets Substitution in Optimizing General Equilibrium
    • Andres, Javier, David Lopez-Salido, and Edward Nelson (2004) "Tobin's Imperfect Assets Substitution in Optimizing General Equilibrium. Journal of Money, Credit, and Banking, 36, 665-90.
    • (2004) Journal of Money, Credit, and Banking , vol.36 , pp. 665-690
    • Andres, J.1    Lopez-Salido, D.2    Nelson, E.3
  • 2
    • 84889761091 scopus 로고    scopus 로고
    • "Unconventional Monetary Policy and the Great Recession-Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound." ECB Working Paper No. 1258.
    • Baumeister, Christiane, and Luca Benati (2010) "Unconventional Monetary Policy and the Great Recession-Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound." ECB Working Paper No. 1258.
    • (2010)
    • Baumeister, C.1    Benati, L.2
  • 5
    • 84889729096 scopus 로고    scopus 로고
    • "Documentation of the Estimated, Dynamic, Optimization-Based (EDO) Model of the U.S. Economy: 2010 Version." Federal Reserve Board, Finance and Economics Discussion Series No. 2010-29.
    • Chung, Hess T, Michael T. Kiley, and Jean-Philippe Laforte (2010) "Documentation of the Estimated, Dynamic, Optimization-Based (EDO) Model of the U.S. Economy: 2010 Version." Federal Reserve Board, Finance and Economics Discussion Series No. 2010-29.
    • (2010)
    • Chung, H.T.1    Kiley, M.T.2    Laforte, J.-P.3
  • 6
    • 84889719109 scopus 로고    scopus 로고
    • quot;Zero Lower Bound: Is It a Problem in the Euro Area?" ECB Working Paper No. 269.
    • Coenen, Günter. (2003) "Zero Lower Bound: Is It a Problem in the Euro Area?" ECB Working Paper No. 269.
    • (2003)
    • Coenen, G.1
  • 7
    • 84889749795 scopus 로고    scopus 로고
    • Congressional Budget Office "The Economic and Budget Outlook: An Update.
    • Congressional Budget Office. (2010) "The Economic and Budget Outlook: An Update.
    • (2010)
  • 8
    • 84889748996 scopus 로고    scopus 로고
    • "Flow and Stock Effects of Large-Scale Treasury Purchases." Federal Reserve Board, Finance and Economics Discussion Series No. 2010-52.
    • D'Amico, Stefania, and Thomas B. King (2010) "Flow and Stock Effects of Large-Scale Treasury Purchases." Federal Reserve Board, Finance and Economics Discussion Series No. 2010-52.
    • (2010)
    • D'Amico, S.1    King, T.B.2
  • 9
    • 84856610536 scopus 로고    scopus 로고
    • The Efficacy of Large-Scale Asset Purchases at the Zero Lower Bound
    • Doh, Tauyoung. (2010) "The Efficacy of Large-Scale Asset Purchases at the Zero Lower Bound. Federal Reserve Bank of Kansas City Economic Review, 2, 5-34.
    • (2010) Federal Reserve Bank of Kansas City Economic Review , vol.2 , pp. 5-34
    • Doh, T.1
  • 10
    • 48949120097 scopus 로고    scopus 로고
    • Natural Rate Measures in an Estimated DSGE Model of the U.S. Economy
    • Edge, Rochelle M., Michael T. Kiley, and Jean-Philippe Laforte (2008) "Natural Rate Measures in an Estimated DSGE Model of the U.S. Economy. Journal of Economic Dynamics and Control, 32, 2512-35.
    • (2008) Journal of Economic Dynamics and Control , vol.32 , pp. 2512-2535
    • Edge, R.M.1    Kiley, M.T.2    Laforte, J.-P.3
  • 11
    • 77953506526 scopus 로고    scopus 로고
    • A Comparison of Forecast Performance between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model
    • Edge, Rochelle M., Michael T. Kiley, and Jean-Philippe Laforte (2010) "A Comparison of Forecast Performance between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model. Journal of Applied Econometrics, 25, 720-54.
    • (2010) Journal of Applied Econometrics , vol.25 , pp. 720-754
    • Edge, R.M.1    Kiley, M.T.2    Laforte, J.-P.3
  • 12
    • 0043241015 scopus 로고    scopus 로고
    • The Zero Bound on Interest Rates and Optimal Monetary Policy
    • Eggertsson, Gauti B., and Michael Woodford (2003) "The Zero Bound on Interest Rates and Optimal Monetary Policy. Brookings Papers on Economic Activity, 2, 139-211.
    • (2003) Brookings Papers on Economic Activity , vol.2 , pp. 139-211
    • Eggertsson, G.B.1    Woodford, M.2
  • 13
    • 0039147699 scopus 로고    scopus 로고
    • GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
    • Engle, Robert. (2001) "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. Journal of Economic Perspectives, 15, 157-68.
    • (2001) Journal of Economic Perspectives , vol.15 , pp. 157-168
    • Engle, R.1
  • 14
    • 84889746307 scopus 로고    scopus 로고
    • "Large-Scale Asset Purchases by the Federal Reserve: Did They Work?" Federal Reserve Bank of New York Staff Reports No. 441.
    • Gagnon, Joseph, Matthew Raskin, Julie Remache, and Brian Sack (2010) "Large-Scale Asset Purchases by the Federal Reserve: Did They Work?" Federal Reserve Bank of New York Staff Reports No. 441.
    • (2010)
    • Gagnon, J.1    Raskin, M.2    Remache, J.3    Sack, B.4
  • 15
    • 38249040925 scopus 로고
    • A Standard Error for the Estimated State Vector of a State-Space Model
    • Hamilton, James D. (1986) "A Standard Error for the Estimated State Vector of a State-Space Model. Journal of Econometrics, 33, 387-97.
    • (1986) Journal of Econometrics , vol.33 , pp. 387-397
    • Hamilton, J.D.1
  • 16
    • 84863012515 scopus 로고    scopus 로고
    • The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    • Hamilton, James D., and Cynthia Wu (2012) "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment. Journal of Money, Credit, and Banking, 44(1, Suppl.), 3-46.
    • (2012) Journal of Money, Credit, and Banking , vol.44 , Issue.1 SUPPL. , pp. 3-46
    • Hamilton, J.D.1    Wu, C.2
  • 17
    • 84889751093 scopus 로고    scopus 로고
    • "Did the Federal Reserve's MBS Purchase Program Lower Mortgage Rates?" Federal Reserve Board, Finance and Economics Discussion Series 2011-1.
    • Hancock, Diana, and Wayne Passmore (2011) "Did the Federal Reserve's MBS Purchase Program Lower Mortgage Rates?" Federal Reserve Board, Finance and Economics Discussion Series 2011-1.
    • (2011)
    • Hancock, D.1    Passmore, W.2
  • 18
    • 64749101797 scopus 로고    scopus 로고
    • International Monetary Fund. October.
    • International Monetary Fund. (2010) World Economic Outlook, October.
    • (2010) World Economic Outlook
  • 20
    • 84889756032 scopus 로고    scopus 로고
    • "The Financial Market Impact of Quantitative Easing." Bank of England Working Paper 393.
    • Joyce, Michael, Ana Lasaosa, Ibrahim Stevens, and Matthew Tong (2010) "The Financial Market Impact of Quantitative Easing." Bank of England Working Paper 393.
    • (2010)
    • Joyce, M.1    Lasaosa, A.2    Stevens, I.3    Tong, M.4
  • 22
    • 84889752323 scopus 로고    scopus 로고
    • quot;Output Gaps." Federal Reserve Board, Finance and Economics Discussion Series 2010-27.
    • Kiley, Michael T. (2010) "Output Gaps." Federal Reserve Board, Finance and Economics Discussion Series 2010-27.
    • (2010)
    • Kiley, M.T.1
  • 23
    • 84889725226 scopus 로고    scopus 로고
    • "The Effects of Quantitative Easing on Interest Rates." Mimeo, Kellogg School of Management.
    • Krishnamurthy, Arvind, and Annette Vissing-Jorgensen (2011) "The Effects of Quantitative Easing on Interest Rates." Mimeo, Kellogg School of Management.
    • (2011)
    • Krishnamurthy, A.1    Vissing-Jorgensen, A.2
  • 25
    • 84889749789 scopus 로고    scopus 로고
    • quot;Panacea, Curse, or Nonevent? Unconventional Monetary Policy in the United Kingdom." IMF Working Paper 09/163.
    • Meier, André. (2009) "Panacea, Curse, or Nonevent? Unconventional Monetary Policy in the United Kingdom." IMF Working Paper 09/163.
    • (2009)
    • Meier, A.1
  • 26
    • 84889728544 scopus 로고    scopus 로고
    • quot;The Large-Scale Asset Purchases Had Large International Effects." Federal Reserve Bank of St. Louis Working Paper 2010-018C.
    • Neely, Christopher J. (2011) "The Large-Scale Asset Purchases Had Large International Effects." Federal Reserve Bank of St. Louis Working Paper 2010-018C.
    • (2011)
    • Neely, C.J.1
  • 27
    • 0004275553 scopus 로고    scopus 로고
    • Organisation for Economic Co-Operation and Development
    • Organisation for Economic Co-Operation and Development. (2010) Economic Outlook, 88.
    • (2010) Economic Outlook , pp. 88
  • 30
    • 33646400597 scopus 로고    scopus 로고
    • Understanding the Term Structure of Interest Rates
    • Poole, William. (2005) "Understanding the Term Structure of Interest Rates. Federal Reserve Bank of St. Louis Review, 87, 589-96.
    • (2005) Federal Reserve Bank of St. Louis Review , vol.87 , pp. 589-596
    • Poole, W.1
  • 31
    • 22144440111 scopus 로고    scopus 로고
    • Time Varying Structural Vector Autoregressions and Monetary Policy
    • Primiceri, Giorgio. (2005) "Time Varying Structural Vector Autoregressions and Monetary Policy. Review of Economic Studies, 72, 821-52.
    • (2005) Review of Economic Studies , vol.72 , pp. 821-852
    • Primiceri, G.1
  • 32
    • 33747396597 scopus 로고    scopus 로고
    • Expectations Formation and the Effectiveness of Strategies for Limiting the Consequences of the Zero Bound
    • Reifschneider, David L., and John M. Roberts (2006) "Expectations Formation and the Effectiveness of Strategies for Limiting the Consequences of the Zero Bound. Journal of the Japanese and International Economies, 20, 314-37.
    • (2006) Journal of the Japanese and International Economies , vol.20 , pp. 314-337
    • Reifschneider, D.L.1    Roberts, J.M.2
  • 34
    • 84889706180 scopus 로고    scopus 로고
    • "FOMC Briefing." Washington : Board of Governors of the Federal Reserve System (January).
    • Reifschneider, David L., and John C. Williams (2002) "FOMC Briefing." Washington : Board of Governors of the Federal Reserve System (January).
    • (2002)
    • Reifschneider, D.L.1    Williams, J.C.2
  • 35
    • 0000292830 scopus 로고
    • Sticky Prices in the United States
    • Rotemberg, Julio J. (1982) "Sticky Prices in the United States. Journal of Political Economy, 90, 1187-211.
    • (1982) Journal of Political Economy , vol.90 , pp. 1187-1211
    • Rotemberg, J.J.1
  • 37
    • 64749084314 scopus 로고    scopus 로고
    • Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model
    • In, edited by Klaus Schmidt-Hebbel and Rick Mishkin Santiago, Chile : Central Bank of Chile.
    • Schmitt-Grohe, Stephanie, and Martin Uribe (2007) "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model." In Monetary Policy Under Inflation Targeting, edited by Klaus Schmidt-Hebbel and Rick Mishkin, pp. 125-86. Santiago, Chile : Central Bank of Chile.
    • (2007) Monetary Policy Under Inflation Targeting , pp. 125-186
    • Schmitt-Grohe, S.1    Uribe, M.2
  • 38
    • 34547309730 scopus 로고    scopus 로고
    • Shocks and Frictions in U.S. Business Cycles: A Bayesian DSGE Approach
    • Smets, Frank, and Rafael Wouters (2007) "Shocks and Frictions in U.S. Business Cycles: A Bayesian DSGE Approach. American Economic Review, 97, 586-606.
    • (2007) American Economic Review , vol.97 , pp. 586-606
    • Smets, F.1    Wouters, R.2
  • 39
    • 0032340180 scopus 로고    scopus 로고
    • Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
    • Stock, James, and Mark Watson (1998) "Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model. Journal of the American Statistical Association, 93, 349-58.
    • (1998) Journal of the American Statistical Association , vol.93 , pp. 349-358
    • Stock, J.1    Watson, M.2
  • 40
    • 80053591546 scopus 로고    scopus 로고
    • Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2
    • Swanson, Eric T. (2011) "Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2. Brookings Papers on Economic Activity, 1, 151-88.
    • (2011) Brookings Papers on Economic Activity , vol.1 , pp. 151-188
    • Swanson, E.T.1
  • 42
    • 0003075574 scopus 로고    scopus 로고
    • A Historical Analysis of Monetary Policy Rules
    • edited by John B. Taylor Chicago : University of Chicago Press.
    • Taylor, John B. (1999) "A Historical Analysis of Monetary Policy Rules." In Monetary Policy Rules, edited by John B. Taylor, pp. 319-41. Chicago : University of Chicago Press.
    • (1999) Monetary Policy Rules , pp. 319-341
    • Taylor, J.B.1
  • 43
    • 84889747686 scopus 로고    scopus 로고
    • "A Preferred-Habitat Model of the Term Structure of Interest Rates." Mimeo, London School of Economics.
    • Vayanos, Dimitri, and Jean-Luc Vila (2009) "A Preferred-Habitat Model of the Term Structure of Interest Rates." Mimeo, London School of Economics.
    • (2009)
    • Vayanos, D.1    Vila, J.-L.2
  • 46
    • 77949806664 scopus 로고    scopus 로고
    • Heeding Daedalus: Optimal Inflation and the Zero Lower Bound
    • Williams, John C. (2009) "Heeding Daedalus: Optimal Inflation and the Zero Lower Bound. Brookings Paper on Economic Activity, 2, 1-37.
    • (2009) Brookings Paper on Economic Activity , vol.2 , pp. 1-37
    • Williams, J.C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.