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Journal ArticleDOI

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

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TLDR
This paper employed an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates, which can be used to summarize the macroeconomic effects of unconventional monetary policy.
Abstract
This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be used to summarize the macroeconomic effects of unconventional monetary policy. Our estimates imply that the efforts by the Federal Reserve to stimulate the economy since July 2009 succeeded in making the unemployment rate in December 2013 1% lower, which is 0.13% more compared to the historical behavior of the Fed.

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Book ChapterDOI

Macroeconomic Shocks and Their Propagation

TL;DR: This article reviewed and synthesized our current understanding of the shocks that drive economic fluctuations and concluded that we are much closer to understanding the shocks in economic fluctuations than we were 20 years ago.
Journal ArticleDOI

The Empirical Implications of the Interest-Rate Lower Bound

TL;DR: In this article, the authors quantify the size and nature of disturbances that pushed the US economy to the lower bound in late 2008 as well as the contribution of the lower-bound constraint to the resulting economic slump.
Journal ArticleDOI

Monetary Policy Spillovers and the Trilemma in the New Normal: Periphery Country Sensitivity to Core Country Conditions

TL;DR: In this article, the authors investigate why and how the financial conditions of developing and emerging market countries (peripheral countries) can be affected by the movements in the center economies (the U.S., Japan, the Eurozone, and China).
Journal ArticleDOI

Safety, Liquidity, and the Natural Rate of Interest

TL;DR: In this article, the authors find that interest rates are low primarily because the premium for safety and liquidity has increased since the late 1990s, and to a lesser extent because economic growth has slowed.
References
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Journal ArticleDOI

Time series analysis

James D. Hamilton
- 01 Feb 1997 - 
TL;DR: A ordered sequence of events or observations having a time component is called as a time series, and some good examples are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product of a country and so on.
Posted Content

Monetary Policy Shocks: What Have We Learned and to What End?

TL;DR: The authors reviewed recent research that grapples with the question: What happens after an exogenous shock to monetary policy? They argue that this question is interesting because it lies at the center of a particular approach to assessing the empirical plausibility of structural economic models that can be used to think about systematic changes in monetary policy institutions and rules.
Posted ContentDOI

The Zero Bound on Interest Rates and Optimal Monetary Policy

TL;DR: The question of the proper conduct of monetary policy in the presence of a lower bound of zero for overnight nominal interest rates has recently become a topic of lively interest as mentioned in this paper, and the question of how policy should be conducted when the zero bound is reached or when the possibility of reaching it can no longer be ignored.
Journal ArticleDOI

Interpreting the macroeconomic time series facts: The effects of monetary policy☆

TL;DR: This article reviewed existing theory and evidence on the effects of monetary policy and presented new evidence, based on multivariate time series studies of several countries, and found that certain patterns in the data consistent with effective monetary policy are strikingly similar across countries.
Journal ArticleDOI

Term Premia and Interest Rate Forecasts in Affine Models

TL;DR: The authors examined the forecasting ability of the affine class of term structure models, where the cross-sectional and time-series characteristics of the term structure are linked in an internally consistent way.
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