We estimate the natural rate of interest for the US and the euro area in a semi-structural model comprising a Taylor rule. Our estimates feature key elements of Laubach and Williams (2003), but are more consistent with using conventional policy rules: we model inflation to be stationary, with...

It has been suggested that interest-rate smoothing may be partly explained by an omitted variable that relates to conditions in financial markets. We propose an alternative interpretation that suggests that it relates to measurement errors in the output gap.

The paper addresses the empirical application of cointegration analysis to four important macroeconomic variables: narrow money (M1), incomes, prices and interest rates in the U.S. during the turmoil period of last decade. Unit root and longmemory tests support the appropriateness of the...

This paper applies a local linear level model to European yields using the state space methodology to structural equation models in order to obtain an unobserved state vector containing the level, slope and seasonal component of the yields. In addition, this has been performed by differentiating...

Money demand in Venezuela is modeled using structural time series and error correction approaches, for the period 1993.1 to 2001.4. The preferred model features seasonal cointegration and was estimated following a structural time series approach. There are similarities in the long-run behavior...

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...

The study aims to examine the relationships between variables from different perspectives by using Turkey's Real exchange rate (TL/USD), Real interest rate and Consumer price index data. Data from 2012M7 to 2021M12 were used in the study. In order to examine the relationships between the...