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Estimating the US trend short-term interest rate

Author

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  • Beechey, Meredith
  • Österholm, Pär
  • Poon, Aubrey

Abstract

We estimate the trend short-term interest rate in the United States using an unobserved-components stochastic-volatility model with interest-rate and survey data from 1998Q2 to 2022Q4. Our results indicate that the trend short-term interest rate has drifted down during most of the sample and remains low in a historical perspective, despite the recent sharp increase in the short-term interest rate.

Suggested Citation

  • Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).
  • Handle: RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002854
    DOI: 10.1016/j.frl.2023.103913
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    References listed on IDEAS

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    More about this item

    Keywords

    Unobserved components model; Bayesian estimation;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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