Replication data for: The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities
Principal Investigator(s): View help for Principal Investigator(s) Marco Del Negro; Gauti Eggertsson; Andrea Ferrero; Nobuhiro Kiyotaki
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| Replication-Code-and-Data | 10/12/2019 12:11:AM | ||
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text/plain | 14.6 KB | 10/11/2019 08:11:PM |
Project Citation:
Del Negro, Marco, Eggertsson, Gauti, Ferrero, Andrea, and Kiyotaki, Nobuhiro. Replication data for: The Great Escape? A Quantitative Evaluation of the Fed’s Liquidity Facilities. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E112902V1
Project Description
Summary:
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We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities and ask: can a shock to the liquidity of private paper lead to a collapse in short-term nominal interest rates and a recession like the one associated with the 2008 US financial crisis? Once the nominal interest rate reaches the zero bound, what are the effects of interventions in which the government provides liquidity in exchange for illiquid private paper? We find that the effects of the liquidity shock can be large, and show some numerical examples in which the liquidity facilities of the Federal Reserve prevented a repeat of the Great Depression in the period 2008-2009.
Scope of Project
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E31 Price Level; Inflation; Deflation
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
E58 Central Banks and Their Policies
G01 Financial Crises
E13 General Aggregative Models: Neoclassical
E31 Price Level; Inflation; Deflation
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
E58 Central Banks and Their Policies
G01 Financial Crises
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