The Empirical Implications of the Zero Lower Bound on the
Interest Rate: The Case of the Czech Economy

J 2016

The Empirical Implications of the Zero Lower Bound on the Interest Rate: The Case of the Czech Economy

HLOUŠEK, Miroslav

Základní údaje

Originální název

The Empirical Implications of the Zero Lower Bound on the Interest Rate: The Case of the Czech Economy

Autoři

HLOUŠEK, Miroslav (203 Česká republika, garant, domácí)

Vydání

Acta universitatis agriculturae et silviculturae Mendelianae Brunensis, Brno, Mendelova univerzita v Brně, 2016, 1211-8516

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Kód RIV

RIV/00216224:14560/16:00089844

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.11118/actaun201664020603

EID Scopus

2-s2.0-84970024867

Klíčová slova anglicky

zero lower bound on interest rate; DSGE model; occasionally binding constraint; monetary policy

Změněno: 1. 3. 2018 08:00, Ing. Miroslav Hloušek, Ph.D.

Anotace

V originále

This paper uses an estimated DSGE model of the Czech economy to study the macroeconomic implications of various shocks when the interest rate is constrained by the zero lower bound. The goal is to identify which shocks represent threats for the economy and how large the distortions are. The results show that four single shocks can take the economy to the zero lower bound, and that of the four, productivity shock in the tradable sector is the most dangerous. The consequences for the behaviour of macroeconomic variables are nontrivial and, quite naturally, increase with the size of the shock and the frequency of occurrence. If the economy is subject to all model specific shocks, there are distortions in terms of lower average values of output and consumption (by more than one percentage point) and higher inflation volatility (by more than six percentage points). To reduce these costs, the central bank should give higher weight to inflation and lower weight to the output gap in monetary policy rule.

Návaznosti

MUNI/A/1049/2015, interní kód MU

Název: Makroekonomická analýza chování ekonomiky a hospodářské politiky pomocí kvantitativních metod

Investor: Masarykova univerzita, Makroekonomická analýza chování ekonomiky a hospodářské politiky pomocí kvantitativních metod, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HLOUŠEK, Miroslav. The Empirical Implications of the Zero Lower Bound on the Interest Rate: The Case of the Czech Economy. Acta universitatis agriculturae et silviculturae Mendelianae Brunensis. Brno: Mendelova univerzita v Brně, 2016, roč. 64, č. 2, s. 603-616. ISSN 1211-8516. Dostupné z: https://dx.doi.org/10.11118/actaun201664020603.

@article{1344332,
   author = {Hloušek, Miroslav},
   article_location = {Brno},
   article_number = {2},
   doi = {http://dx.doi.org/10.11118/actaun201664020603},
   keywords = {zero lower bound on interest rate; DSGE model; occasionally binding constraint; monetary policy},
   language = {eng},
   issn = {1211-8516},
   journal = {Acta universitatis agriculturae et silviculturae Mendelianae Brunensis},
   title = {The Empirical Implications of the Zero Lower Bound on the Interest Rate: The Case of the Czech Economy},
   url = {http://acta.mendelu.cz/64/2/0603/},
   volume = {64},
   year = {2016}
}

TY  - JOUR
ID  - 1344332
AU  - Hloušek, Miroslav
PY  - 2016
TI  - The Empirical Implications of the Zero Lower Bound on the Interest Rate: The Case of the Czech Economy
JF  - Acta universitatis agriculturae et silviculturae Mendelianae Brunensis
VL  - 64
IS  - 2
SP  - 603-616
EP  - 603-616
PB  - Mendelova univerzita v Brně
SN  - 12118516
KW  - zero lower bound on interest rate
KW  - DSGE model
KW  - occasionally binding constraint
KW  - monetary policy
UR  - http://acta.mendelu.cz/64/2/0603/
L2  - http://acta.mendelu.cz/64/2/0603/
N2  - This paper uses an estimated DSGE model of the Czech economy to study the macroeconomic implications of various shocks when the interest rate is constrained by the zero lower bound. The goal is to identify which shocks represent threats for the economy and how large the distortions are. The results show that four single shocks can take the economy to the zero lower bound, and that of the four, productivity shock in the tradable sector is the most dangerous. The consequences for the behaviour of macroeconomic variables are nontrivial and, quite naturally, increase with the size of the shock and the frequency of occurrence. If the economy is subject to all model specific shocks, there are distortions in terms of lower average values of output and consumption (by more than one percentage point) and higher inflation volatility (by more than six percentage points). To reduce these costs, the central bank should give higher weight to inflation and lower weight to the output gap in monetary policy rule.
ER  -

HLOUŠEK, Miroslav. The Empirical Implications of the Zero Lower Bound on the Interest Rate: The Case of the Czech Economy. \textit{Acta universitatis agriculturae et silviculturae Mendelianae Brunensis}. Brno: Mendelova univerzita v Brně, 2016, roč.~64, č.~2, s.~603-616. ISSN~1211-8516. Dostupné z: https://dx.doi.org/10.11118/actaun201664020603.

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