| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13042 |
| DP13042 The Rise and Fall of the Natural Interest Rate | |
| Gabriele Fiorentini; Gabriel Pérez-Quirós; ENRIQUE SENTANA | |
| 发表日期 | 2018-07-10 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We document a rise and fall of the natural interest rate (r*) for several advanced economies, which starts increasing in the 1960’s and peaks around the end of the 1980’s. We reach this conclusion after showing that the Laubach and Williams (2003) model cannot estimate r* accurately when either the IS curve or the Phillips curve is flat. In those empirically relevant situations, a local level specification for the observed interest rate can precisely estimate r*. An estimated Panel ECM suggests that the temporary demographic effect of the young baby-boomers mostly accounts for the rise and fall. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Natural rate of interest Kalman filter Observability Demographics |
| URL | https://cepr.org/publications/dp13042 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541848 |
| 推荐引用方式 GB/T 7714 | Gabriele Fiorentini,Gabriel Pérez-Quirós,ENRIQUE SENTANA. DP13042 The Rise and Fall of the Natural Interest Rate. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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