Measuring the natural rate of interest: A note on transitory shocks
| Autor: | Kurt F. Lewis, Francisco Vazquez-Grande |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
050208 finance 05 social sciences Monetary policy Bayesian probability Kalman filter Natural (archaeology) Great recession 0502 economics and business Prior probability Economics Benchmark (computing) Econometrics 050207 economics human activities Social Sciences (miscellaneous) |
| Zdroj: | Journal of Applied Econometrics. 34:425-436 |
| ISSN: | 1099-1255 0883-7252 |
| DOI: | 10.1002/jae.2671 |
| Popis: | We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian methods and loose priors on the unobserved drivers of the natural rate. When subject to transitory shocks, the median estimate for the U.S. economy is more procyclical, displays a less marked secular decline, and is therefore higher following the Great Recession than most estimates in the literature. |
| Databáze: | OpenAIRE |
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