Endogenous persistence at the effective lower bound
Existing tractable DSGE models at the lower bound have been celebrated for their analytical clarity and associated graphical representations. We show that expectations in these models are crucial, but conflict with Professional Forecaster’s data. We develop a new stochastic algorithm that nests these contributions, but can accommodate the necessary endogenous persistence to match expectations data. We show how to construct analytical solutions and graphical representations in that context. Using these, we study the government spending multiplier in a DSGE model with habit formation that matches U.S/Japanese expectations data. We find output multipliers that are below one in each case.
Date: 11 June 2024, 13:15 (Tuesday, 8th week, Trinity 2024)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar Room A or https://zoom.us/j/99960790792?pwd=eVFyRGRQc1RRS3l1U1U2UnlKTHBqUT09
Speaker: Jordan Roulleau-Pasdeloup (National University of Singapore)
Organising department: Department of Economics
Part of: Macroeconomics Seminar
Booking required?: Not required
Audience: Members of the University only
Editor: Edward Clark