Measuring the natural rate of interest: International trends and determinants

被引:277
作者
Holston, Kathryn [1 ]
Laubach, Thomas [1 ]
Williams, John C. [2 ]
机构
[1] Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA
[2] Fed Reserve Bank San Francisco, San Francisco, CA USA
关键词
Natural rate of output; Monetary policy rules; Kalman filter; Trend growth; PARAMETER;
D O I
10.1016/j.jinteco.2017.01.004
中图分类号
F [经济];
学科分类号
02 ;
摘要
U.S. estimates of the natural rate of interest-the real short-term interest rate that would prevail absent transitory disturbances- have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the natural rate in the United States fell to close to zero during the crisis and has remained there into 2016. Explanations for this decline include shifts in demographics, a slowdown in trend productivity growth, and global factors affecting real interest rates. This paper applies the Laubach-Williams methodology to the United States and three other advanced economies- Canada, the Euro Area, and the United Kingdom. We find that large declines in trend GDP growth and natural rates of interest have occurred over the past 25 years in all four economies. These country-by-country estimates are found to display a substantial amount of comovement over time, suggesting an important role for global factors in shaping trend growth and natural rates of interest. (C) 2017 The Authors. Published by Elsevier B.V.
引用
收藏
页码:S59 / S75
页数:17
相关论文
共 59 条
[1]  
Agopsowicz A., 2016, 20164 BANK CAN
[2]   Money and the natural rate of interest: Structural estimates for the United States and the euro area [J].
Andres, Javier ;
Lopez-Salido, J. David ;
Nelson, Edward .
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2009, 33 (03) :758-776
[3]   OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT ONLY UNDER THE ALTERNATIVE [J].
ANDREWS, DWK ;
PLOBERGER, W .
ECONOMETRICA, 1994, 62 (06) :1383-1414
[4]  
[Anonymous], 2015, FINANCE EC DISCUSSIO
[5]  
[Anonymous], 2010, RETHINKING MACROPOLI
[6]  
[Anonymous], 2016, TOO SLOW TOO LONG
[7]  
[Anonymous], 2005, SANDR LECT VIRG ASS
[8]  
[Anonymous], 1989, INTEREST PRICES
[9]  
[Anonymous], 2014, REM UN
[10]  
[Anonymous], [No title captured]