This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound on nominal interest rates. We ﬁnd that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the 1980s and 1990s, the consequences of the zero bound are negligible for target inﬂation rates as low as 2 percent. However, the effects of the constraint are non-linear with respect to the inﬂation target and produce a quantitatively signiﬁcant deterioration of the performance of the economy with targets between 0 and 1 percent. The variability of output increases signiﬁcantly and that of inﬂation also rises somewhat. Also, we show that the asymmetry of the policy ineffectiveness induced by the zero bound generates a non-vertical long-run Phillips curve. Output falls increasingly short of potential with lower inﬂation targets.