2022年2月
A Note on Habit Persistence and Zero Lower Bound Risk under Optimal Discretionary Monetary Policy
SSRN Electronic Journal 4029534
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- 記述言語
- 英語
- 掲載種別
- DOI
- 10.2139/ssrn.4029534
Previous studies have shown that the risk of nominal interest rates hitting the zero lower bound (ZLB) has profound implications for monetary policy. In this paper, we show that habit persistence is a non-negligible deep parameter under optimal discretionary policy when the risk of the ZLB is taken into account. The uncertainty effect, which is defined as differences between risky steady states (RSS) and deterministic steady states (DSS), increases as habit persistence increases. Under empirically reasonable values of habit persistence, we show that the RSS of the nominal interest rate would reach the ZLB under optimal discretionary policy. Moreover, the uncertainty effect of the ZLB worsens welfare more as habit persistence increases.
- リンク情報
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- DOI
- https://doi.org/10.2139/ssrn.4029534
- 共同研究・競争的資金等の研究課題
- 日本のマクロ経済の長期停滞とゼロ金利政策に関するDSGEモデルによる包括的な分析
- 共同研究・競争的資金等の研究課題
- 労働市場の不完全性を考慮した最適なゼロ金利政策の分析
- URL
- https://dx.doi.org/10.2139/ssrn.4029534 本文へのリンクあり
- ID情報
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- DOI : 10.2139/ssrn.4029534
- eISSN : 1556-5068