Advanced Search
MyIDEAS: Login to save this paper or follow this series

An empirical approximation of the natural rate of interest and potential growth

Contents:

Author Info

  • Marta Manrique

    ()
    (Banco de España)

  • José Manuel Marqués

    ()
    (Banco de España)

Abstract

The 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 Info

If 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.
File URL: http://www.bde.es/f/webbde/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/dt0416e.pdf
File Function: First version, September 2004
Download Restriction: no

File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/04/Fic/dt0416.pdf
File Function: First Spanish version, September 2004
Download Restriction: no

Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0416.

as in new window
Length: 30 pages
Date of creation: Sep 2004
Date of revision:
Handle: RePEc:bde:wpaper:0416

Contact details of provider:
Email:
Web page: http://www.bde.es/
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Julien Garnier & Bjørn-Roger Wilhelmsen, 2005. "The natural real interest rate and the output gap in the euro area: A joint estimation," Working Paper, Norges Bank 2005/14, Norges Bank.
  2. Alexius, Annika & Welz, Peter, 2006. "Can a time-varying equilibrium real interest rate explain the excess sensitivity puzzle?," Working Paper Series, Uppsala University, Department of Economics 2006:20, Uppsala University, Department of Economics.
  3. 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.
  4. Adela Luque, 2005. "Skill mix and technology in Spain: evidence from firm level data," Banco de Espa�a Working Papers, Banco de Espa�a 0513, Banco de Espa�a.
  5. Horvath, Roman, 2006. "Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic," MPRA Paper 845, University Library of Munich, Germany.
  6. Rodrigo Fuentes S & Fabián Gredig U., 2008. "The Neutral Interest Rate: Estimates for Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 11(2), pages 47-58, August.
  7. José Francisco Bellod Redondo, 2011. "La función de producción de Cobb-Douglas y la economía española," Revista de Economía Crítica, Asociación de Economía Crítica, Asociación de Economía Crítica, vol. 12, pages 9-38.
  8. Jean-Stéphane 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, Money Macro and Finance Research Group 102, Money Macro and Finance Research Group.
  9. Marco Lombardi & Silvia Sgherri, 2007. "(Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate," DNB Working Papers, Netherlands Central Bank, Research Department 142, Netherlands Central Bank, Research Department.
  10. 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, Springer, vol. 36(2), pages 297-319, May.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bde:wpaper:0416. See general information about how to correct material in RePEc.

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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.