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Time-varying Nairu and Real Interest Rates in the Euro Area

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  • Camille Logeay
  • Silke Tober

Abstract

This paper analyses the Nairu in the Euro Area and the influence that monetary policy had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here for the first time using explicit exogenous variables. In particular real interest rates were found to explain a quarter of the increase in the Nairu between 1980 and 1995. This indicates the possibility of a long-run non-superneutrality of monetary policy.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.40460.de/dp351.pdf
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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 351.

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Length: 37 p.
Date of creation: 2003
Date of revision:
Handle: RePEc:diw:diwwpp:dp351

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Keywords: Nairu; Monetary Policy; Kalman Filter; Phillips curve; Superneutrality;

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