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Real Interest Rate and Growth Rate : Theory and Empirical Evidence
Le Page, Jean Marie - 2012
This study presents an assessment of the links between the real interest rate and the growth rate. In the first part of the paper we recall the theoretical foundations of these links. In the second part, we compare empirical data with the predictions of the theory. The real interest rate should...
Persistent link: https://www.econbiz.de/10013110039
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Term Structures of Inflation Expectations and Real Interest Rates
Aruoba, S. Borağan - 2017
Revised September 2016. In this paper, I use a statistical model to combine various surveys to produce a term structure of inflation expectations--inflation expectations at any horizon--and an associated term structure of real interest rates. Inflation expectations extracted from this model...
Persistent link: https://www.econbiz.de/10012969696
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Measuring the Natural Rate of Interest : A Note on Transitory Shocks
Lewis, Kurt F. - 2020
We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian methods and loose priors on the unobserved drivers of the natural rate. When subject to transitory shocks, the median...
Persistent link: https://www.econbiz.de/10012854228
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Measuring the Natural Rate of Interest : International Trends and Determinants
Holston, Kathryn - 2016
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...
Persistent link: https://www.econbiz.de/10013210446
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Measuring the natural rate of interest : international trends and determinants
Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2016
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...
Persistent link: https://www.econbiz.de/10011578458
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012425011
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Multiple Policy Interest Rates and Economic Performance in a Multiple Monetary-Policy-Tool Environment
Varlik, Serdar - 2018
This paper assesses the individual effects on economic performance of different monetary policy interest rates for a central bank. To measure these effects, we employ an extension of existing Factor-Augmented Vector Autoregressive (FAVAR) models, such that the number of monetary policy variables...
Persistent link: https://www.econbiz.de/10012915272
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Measuring the natural interest rate for the Macedonian economy : a multi-model approach
Miteski, Mite; Petrovska, Magdalena; Sulejmani, Artan - 2023
This paper identifies the natural interest rate for the Macedonian economy using quarterly data for 2001Q4-2019Q3. To this end, the estimation is made by using different types of models, such as the Holston, Laubach, and Williams model and the full-fledged country-specific structural MAKPAM...
Persistent link: https://www.econbiz.de/10014324792
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The effective rate of interest on target balances
Sinn, Hans-Werner - 2019
paper shows that the pooling of primary interest income among national central banks in the Eurozone implies that Target and … decentralized monetary system of the kind characterizing the Eurozone. It also implies that the recording of Target balances in the … balance sheets of national central banks is compatible with fair value accounting. Highlights * The Eurozone's Target and cash …
Persistent link: https://www.econbiz.de/10012110196