@article{2399b236d2c34e7bbe701921dcef08bc,
title = "Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan",
abstract = "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.",
keywords = "Bayesian inference, DSGE model, Monte Carlo squared, particle filter, sequential",
author = "Hirokuni Iiboshi and Mototsugu Shintani and Kozo Ueda",
note = "Funding Information: We thank Ken West (the editor), two anonymous referees, Ryo Hasumi, Yasuo Hirose, Kazumasa Iwata, Jinill Kim, Mariano Kulish, Taisuke Nakata, Frank Schorfheide, Naoto Soma, Nate Throckmorton, Takayuki Tsuruga, and the conference and seminar participants at the IAAE 2017, EEA‐ESEM 2018, SNDE 2018, Spring meeting of JEA 2019, Japan Center for Economic Research, Korea University, and the University of Tokyo for their useful comments and suggestions. Iiboshi is grateful for financial support from the Japan Society for the Promotion of Science (JSPS, 18K01575). Shintani is grateful for financial support from the JSPS (17H02510 and 20H01482). Ueda is grateful for financial support from the MEXT‐Supported Program for the Strategic Research Foundation at Private Universities (S1411025), the JSPS (19H01491), and the Tokyo Center for Economic Research. Publisher Copyright: {\textcopyright} 2022 The Authors. Journal of Money, Credit and Banking published by Wiley Periodicals LLC on behalf of Ohio State University.",
year = "2022",
doi = "10.1111/jmcb.12908",
language = "English",
journal = "Journal of Money, Credit and Banking",
issn = "0022-2879",
publisher = "Wiley-Blackwell",
}