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(Un)anticipated Monetary Policy in a DSGE Model with a Shadow Banking System

Title
(Un)anticipated Monetary Policy in a DSGE Model with a Shadow Banking System
Type
Article in International Scientific Journal
Year
2013
Authors
Fabio Verona
(Author)
Other
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Manuel Mota Freitas Martins
(Author)
FEP
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Inês Drumond
(Author)
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Journal
Vol. 9 No. 3
Pages: 73-117
ISSN: 1815-4654
Indexing
Publicação em ISI Web of Science ISI Web of Science
Econlit
Scientific classification
FOS: Social sciences > Economics and Business
CORDIS: Social sciences > Economics
Other information
Authenticus ID: P-006-JW6
Abstract (EN): Motivated by the U. S. events of the 2000s, we address whether a too low for too long interest rate policy may generate a boom-bust cycle. We simulate anticipated and unanticipated monetary policies in state-of-the-art DSGE models and in a model with bond financing via a shadow banking system, in which the bond spread is calibrated for normal and optimistic times. Our results suggest that the U. S. boom-bust was caused by the combination of (i) too low for too long interest rates, (ii) excessive optimism, and (iii) a failure of agents to anticipate the extent of the abnormally favorable conditions.
Language: English
Type (Professor's evaluation): Scientific
No. of pages: 45
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