Finance and Economics Discussion Series

Name: Finance and Economics Discussion Series: Measuring the Natural Rate of Interest
SKU: 23805928
Price: 49.00 NZD
Availability: InStock

Measuring the Natural Rate of Interest

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Description

A key variable for the conduct of monetary policy is the natural rate of interest -- the real interest rate consistent with output equaling potential and stable inflation. Economic theory implies that the natural rate of interest varies over time and depends on the trend growth rate of output. In this paper we apply the Kalman filter to jointly estimate the natural rate of interest, potential output, and the trend growth rate, and examine the empirical relationship between these estimated unobserved series. We find substantial variation in the natural rate of interest over the past four decades in the United States. Our natural rate estimates vary about one-for-one with changes in the trend growth rate. We show that policymakers' mismeasurement of the natural rate of interest can cause a significant deterioration in macroeconomic stabilization.

Release date NZ

February 6th, 2013

Author

Audience

General (US: Trade)

Contributor

Created by United States Federal Reserve Board

Country of Publication

United States

Illustrations

black & white illustrations

Imprint

Bibliogov

Pages

Publisher

Bibliogov

Dimensions

189x246x2

ISBN-13

9781288716050

Product ID

23805928

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