Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan

Hirokuni Iiboshi, Mototsugu Shintani, Kozo Ueda*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


Which type of monetary policy rule best describes the policy conducted by the Bank of Japan (BOJ) during the period when the nominal interest rate is constrained at the zero lower bound (ZLB)? What are the economic fundamentals that explain Japan's prolonged stagnation? How important is incorporating nonlinearities in the analysis? We answer these questions by estimating a small-scale nonlinear dynamic stochastic general equilibrium (DSGE) model. We find that: the BOJ conducted a threshold-based forward guidance policy; adverse demand shocks explain Japan's experience; and nonlinear models are very useful in the analysis of the Japanese economy during the ZLB period.

Original languageEnglish
JournalJournal of Money, Credit and Banking
Publication statusAccepted/In press - 2022


  • Bayesian inference
  • DSGE model
  • Monte Carlo squared
  • particle filter
  • sequential

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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