Gnan, Ernest; Ritzberger-Grünwald, Doris; Cuaresma, … - Oesterreichische Nationalbank - 2003
A time-varying natural rate of interest is estimated for the euro area using a multivariate unobserved components model. The problem of aggregating interest rate data for the pre-EMU period is directly addressed, and a simple method in order to adjust the risk premia in the interest rate data...
