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(Un)anticipated monetary policy in a DSGE model with a shadow banking system : [Version 21 Juni 2012]
- Motivated by the U.S. events of the 2000s, we address whether a too low for too long interest rate policy may generate a boom-bust cycle. We simulate anticipated and unanticipated monetary policies in state-of-the-art DSGE models and in a model with bond financing via a shadow banking system, in which the bond spread is calibrated for normal and optimistic times. Our results suggest that the U.S. boom-bust was caused by the combination of (i) too low for too long interest rates, (ii) excessive optimism and (iii) a failure of agents to anticipate the extent of the abnormally favorable conditions.
| Verfasserangaben: | Fabio VeronaORCiD, Manuel M. F. Martins, Inês Drumond |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-268698 |
| URL: | http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/WP_56.pdf |
| Titel des übergeordneten Werkes (Deutsch): | Working paper series / Institute for Monetary and Financial Stability ; 56 |
| Schriftenreihe (Bandnummer): | Working paper series / Institute for Monetary and Financial Stability (56) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2012 |
| Jahr der Erstveröffentlichung: | 2012 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 07.11.2012 |
| Freies Schlagwort / Tag: | DSGE model; boom-bust; shadow banking system; too low for too long |
| Ausgabe / Heft: | 21 Juni 2012 |
| Seitenzahl: | 60 |
| HeBIS-PPN: | 344430650 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
