(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate
Abstract
Following the 2000 stockmarket crash, have US interest rates been held "too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts a real-time evaluation of the US monetary policy stance while ensuring consistency between the specification of price adjustments and the evolution of the economy under flexible prices. To do this, the model's likelihood function is evaluated using a Sequential Monte Carlo algorithm providing inference about the time-varying distribution of structural parameters and unobservable, nonstationary state variables. Tracking down the evolution of underlying stochastic processes in real time is found crucial (i) to explain postwar Fed's policy and (ii) to replicate salient features of the data. JEL Classification: E43, C11, C15.Download Info
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Paper provided by European Central Bank in its series Working Paper Series with number 794.Length: 52 pages
Date of creation: Aug 2007
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Handle: RePEc:ecb:ecbwps:20070794
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Keywords: Natural Interest Rate; DSGE Models; Bayesian Analysis; Particle Filters.;Other versions of this item:
- 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.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- G3 - Financial Economics - - Corporate Finance and Governance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-27 (All new papers)
- NEP-CBA-2007-08-27 (Central Banking)
- NEP-MAC-2007-08-27 (Macroeconomics)
- NEP-MON-2007-08-27 (Monetary Economics)
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Andreas Hoffmann, 2010.
"An Overinvestment Cycle In Central And Eastern Europe?,"
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