Changing Macroeconomic Dynamics at the Zero Lower Bound

Francesco Zanetti, Philip Liu () and Haroon Mumtaz and Konstantinos Theodoridis
Authors registered in the RePEc Author Service: Konstantinos Theodoridis and Haroon Mumtaz

No 824, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: Abstract This paper develops a change-point VAR model that isolates four major macroeconomic regimes in the US since the 1960s. The model identi es shocks to demand, supply, monetarypolicy, and spread yield using restrictions from a general equilibrium model. The analysis discloses important changes to the statistical properties of key macroeconomic variables and their responses to the identi ed shocks. During the crisis period, spread shocks became more important for movements in unemployment and in ation. A counterfactual exercise evaluates the importance of lower bond-yield spread during the crises and suggests that the Fed's largescale asset purchases helped lower the unemployment rate by about 0.6 percentage points, while boosting in ation by about 1 percentage point.

Keywords: change-point VAR model; global nancial crisis; large-scale asset purchases (search for similar items in EconPapers)
JEL-codes: E42 E52 (search for similar items in EconPapers)
Date: 2017-04-23
New Economics Papers: this item is included in nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (33)

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Related works:
Journal Article: Changing Macroeconomic Dynamics at the Zero Lower Bound (2019)
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