Search Results

Showing results 1 to 2 of approximately 2.

(refine search)

Working Paper
Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries

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 nonlinear filter is used to examine whether the U.S. in the aftermath of the Great Recession and Japan in the late 1990s ...
International Finance Discussion Papers , Paper 1163

Working Paper
Self-Fulfilling Credit Cycles

In U.S. data 1981?2012, unsecured firm credit moves procyclically and tends to lead GDP, while secured firm credit is acyclical; similarly, shocks to unsecured firm credit explain a far larger fraction of output fluctuations than shocks to secured credit. In this paper we develop a tractable dynamic general equilibrium model in which unsecured firm credit arises from self-enforcing borrowing constraints, preventing an efficient capital allocation among heterogeneous firms. Unsecured credit rests on the value that borrowers attach to a good credit reputation which is a forward-looking ...
Working Papers , Paper 2015-5


FILTER BY Content Type


Aruoba, S. Boragan 1 items

Azariadis, Costas 1 items

Cuba-Borda, Pablo 1 items

Kaas, Leo 1 items

Schorfheide, Frank 1 items

Wen, Yi 1 items

show more (1)

FILTER BY Jel Classification

C5 1 items

D92 1 items

E32 1 items

E4 1 items

E5 1 items

FILTER BY Keywords

Sunspots 2 items

Credit cycles 1 items

DSGE Models 1 items

Deflation 1 items

Japan 1 items

Multiple Equilibria 1 items

show more (6)