Unconventional monetary policy in a nonlinear quadratic model

Faulwasser T, Gross M, Semmler W, Loungani P (2020)
Studies in Nonlinear Dynamics & Econometrics 24(5): 20190099.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
Download
Es wurden keine Dateien hochgeladen. Nur Publikationsnachweis!
Autor*in
Faulwasser, Timm; Gross, Marco; Semmler, WilliUniBi; Loungani, Prakash
Abstract / Bemerkung
After the financial market meltdown and the Great Recession of the years 2007-9, the financial market-macro link has become an important issue in monetary policy modeling. We develop a dynamic model that contains a nonlinear Phillips curve, a dynamic output equation, and a nonlinear credit flow equation capturing the importance of credit cycles, risk premia, and credit spreads. Our Nonlinear Quadratic Model (NLQ) model has three dynamic state equations and a quadratic objective function. It can be used to evaluate the response of central banks to the Great Recession in moving from conventional to unconventional monetary policy. We solve the model with a new numerical procedure using estimated parameters for the euro area. We conduct simulations to explore the (de)stabilizing effects of the nonlinearities in the model. We demonstrate that credit flows, risk premia, and credit spreads play an important role as an amplification mechanism and in affecting the transmission of monetary policy. We thereby highlight the importance of the natural rate of interest as an anchor for a central bank target and the weight it places on the credit flows for the effectiveness of unconventional monetary policy. Our model is similar in structure compared to larger scale macro-econometric models which many central banks employ.
Stichworte
credit cycles; credit spread; inflation targeting; nonlinear Phillips; curve; NLQ model; RS-VAR; unconventional monetary policy
Erscheinungsjahr
2020
Zeitschriftentitel
Studies in Nonlinear Dynamics & Econometrics
Band
24
Ausgabe
5
Art.-Nr.
20190099
ISSN
1081-1826
eISSN
1558-3708
Page URI
https://pub.uni-bielefeld.de/record/2950231

Zitieren

Faulwasser T, Gross M, Semmler W, Loungani P. Unconventional monetary policy in a nonlinear quadratic model. Studies in Nonlinear Dynamics & Econometrics . 2020;24(5): 20190099.
Faulwasser, T., Gross, M., Semmler, W., & Loungani, P. (2020). Unconventional monetary policy in a nonlinear quadratic model. Studies in Nonlinear Dynamics & Econometrics , 24(5), 20190099. https://doi.org/10.1515/snde-2019-0099
Faulwasser, T., Gross, M., Semmler, W., and Loungani, P. (2020). Unconventional monetary policy in a nonlinear quadratic model. Studies in Nonlinear Dynamics & Econometrics 24:20190099.
Faulwasser, T., et al., 2020. Unconventional monetary policy in a nonlinear quadratic model. Studies in Nonlinear Dynamics & Econometrics , 24(5): 20190099.
T. Faulwasser, et al., “Unconventional monetary policy in a nonlinear quadratic model”, Studies in Nonlinear Dynamics & Econometrics , vol. 24, 2020, : 20190099.
Faulwasser, T., Gross, M., Semmler, W., Loungani, P.: Unconventional monetary policy in a nonlinear quadratic model. Studies in Nonlinear Dynamics & Econometrics . 24, : 20190099 (2020).
Faulwasser, Timm, Gross, Marco, Semmler, Willi, and Loungani, Prakash. “Unconventional monetary policy in a nonlinear quadratic model”. Studies in Nonlinear Dynamics & Econometrics 24.5 (2020): 20190099.

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Web of Science

Dieser Datensatz im Web of Science®

Suchen in

Google Scholar