A Time-Varying Natural Rate of Interest for the Euro Area

Details

Serval ID
serval:BIB_45E7F3BF4800
Type
Article: article from journal or magazin.
Collection
Publications
Title
A Time-Varying Natural Rate of Interest for the Euro Area
Journal
European Economic Review
Author(s)
Mésonnier J.-S., Renne J.-P.
ISSN
0014-2921
Publication state
Published
Issued date
2007
Peer-reviewed
Oui
Volume
51
Number
7
Pages
1768-1784
Language
english
Notes
Mesonnier_Renne_2007
Abstract
We estimate a time-varying "natural" rate of interest (TVNRI) for a synthetic euro area over the period 1979Q1-2004Q4 using a small macroeconomic model, broadly following a methodology developed by Laubach and Williams [2003. Measuring the natural rate of interest. The Review of Economics and Statistics 85(4), 1063-1070] for the United States. The Kalman filter simultaneously estimates the output gap and the natural rate of interest. Our identifying assumptions include a close relationship between the TVNRI and the low-frequency fluctuations of potential output growth. The difference between the real rate of interest and its estimated natural level offers valuable insights into the monetary policy stance over the last two decades and a half.
Keywords
Natural rate of interest, Interest rate gap, Monetary policy, Kalman filter, Output gap, Euro area
Web of science
Create date
23/09/2015 16:46
Last modification date
03/03/2018 16:46
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