Monetary Policy in a Stochastic Equilibrium Model with Real and Nominal211 Rigidities

摘要

A dynamic stochastic general-equilibrium (DSGE) model with real and nominal211u001erigidities succeeds in capturing some key nominal features of U.S. business 211u001ecycles. Monetary policy is specied following the developments in the structural 211u001evector autoregression (VAR) literature. Four shocks, including both technology 211u001eand monetary policy shocks, affect the economy. Interaction between real and 211u001enominal rigidities is essential to reproduce the liquidity effect of monetary 211u001epolicy. The model is estimated by maximum produce the liquidity effect o monetary 211u001epolicy. The model's fit is as good as that of an unrestricted first-order VAR and 211u001ethat the estimated model produces reasonable impulse responses and second 211u001emoments. An increase of interest rates predicts a decrease of output two to six 211u001equarters in the future. This feature of U.S. business cycles has never been 211u001ecaptured by previous research with DSGE models. Lastly, the policy implications 211u001eare discussed.