An empirical approximation of the natural rate of interest and potential growth
AbstractThe aim of this paper is to isolate the long run movements on equilibrium interest rate (or natural rate of interest) and potential growth. This estimations has been compute for US and Germany using a methodology developed by Laubach and Williams that is based on a Kalman Filter estimation of this two unobserved variables in a reduce structural model. The results match properly with the generally accepted periods of recessions and points to a reduced variation of the natural rate of interest, the potential growth and the business cycle during the last decade. This lower variation question the effects on the policy design from recent events like the "new economy". Moreover, we find that recently the natural rate of interest had rose in US and exhibits a moderate deceleration on Germany, that seems compatible with the different effect of new technologies for both economies. Moreover, the paper reached some aspects of the current monetary policy stance in both countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0416.
Length: 30 pages
Date of creation: Sep 2004
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Juan José Echavarría & Enrique López Enciso & Martha Misas Arango & Juana Tellez Corredor, 2006.
"La Tasa de Interés Natural en Colombia,"
BORRADORES DE ECONOMIA
003088, BANCO DE LA REPÚBLICA.
- Adela Luque, 2005. "Skill mix and technology in Spain: evidence from firm level data," Banco de Espaï¿½a Working Papers 0513, Banco de Espa�a.
- Jean-StÃ©phane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006 102, Money Macro and Finance Research Group.
- Horvath, Roman, 2006.
"Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic,"
845, University Library of Munich, Germany.
- Roman Horváth, 2006. "Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic," William Davidson Institute Working Papers Series wp848, William Davidson Institute at the University of Michigan.
- Julien Garnier & Bjørn-Roger Wilhelmsen, 2009. "The natural rate of interest and the output gap in the euro area: a joint estimation," Empirical Economics, Springer, vol. 36(2), pages 297-319, May.
- Alexius, Annika & Welz, Peter, 2006. "Can a time-varying equilibrium real interest rate explain the excess sensitivity puzzle?," Working Paper Series 2006:20, Uppsala University, Department of Economics.
- Marco Lombardi & Silvia Sgherri, 2007.
"(Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate,"
DNB Working Papers
142, Netherlands Central Bank, Research Department.
- Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 0794, European Central Bank.
- Julien Garnier & Bjørn-Roger Wilhelmsen, 2005.
"The natural real interest rate and the output gap in the euro area: A joint estimation,"
2005/14, Norges Bank.
- Garnier, Julien & Wilhelmsen, Bjørn-Roger, 2005. "The natural real interest rate and the output gap in the euro area: a joint estimation," Working Paper Series 0546, European Central Bank.
- Rodrigo Fuentes S & Fabián Gredig U., 2008. "The Neutral Interest Rate: Estimates for Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 47-58, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mar�a Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de Espa�a).
If references are entirely missing, you can add them using this form.