@techreport{Clark2004Estimating,
abstract = {We use a range of simple models and 22 years of real-time data vintages for the U.S. to
assess the difficulties of estimating the equilibrium real interest rate in real time. Model
specifications differ according to whether the time-varying equilibrium real rate is
linked to trend growth, and whether potential output and growth are defined by the
CBO?s estimates or treated as unobserved variables. Our results reveal a high degree of
specification uncertainty, an important one-sided filtering problem, and considerable
imprecision due to data uncertainty. Also, the link between trend growth and the
equilibrium real rate is shown to be quite weak. Overall, we conclude that statistical
estimates of the equilibrium real rate will be difficult to use reliably in practical policy
applications.},
author = {Todd E. Clark and Sharon Kozicki},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E52; C3; E4; C5; 330; real-time-data; time-varying parameter; Kalman filter; trend growth; Realzins; Gleichgewicht; Sch\"{a}tzung; Statistischer Fehler; Vereinigte Staaten; real-time-data},
language = {eng},
number = {2004,32},
title = {Estimating equilibrium real interest rates in real-time},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19499},
year = {2004}
}
