Estimating the US trend short-term interest rate

被引：1
|
作者：
Beechey, Meredith [1 ,2 ]
Osterholm, Par [3 ,4 ]
Poon, Aubrey [3 ]
机构：
[1] Reserve Bank Australia, Sydney, NSW 2001, Australia
[2] Sveriges Riksbank, S-10337 Stockholm, Sweden
[3] Orebro Univ, Sch Business, S-70182 Orebro, Sweden
[4] Natl Inst Econ Res, Box 12090, S-10223 Stockholm, Sweden
来源：
FINANCE RESEARCH LETTERS | 2023年 / 55卷
关键词：
Unobserved components model; Bayesian estimation; MEAN REVERSION; NATURAL RATE;
D O I：
10.1016/j.frl.2023.103913
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：8
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