EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/19499
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorClark, Todd E.en_US
dc.contributor.authorKozicki, Sharonen_US
dc.date.accessioned2009-01-28T15:58:59Z-
dc.date.available2009-01-28T15:58:59Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/19499-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2004,32en_US
dc.subject.jelE52en_US
dc.subject.jelC3en_US
dc.subject.jelE4en_US
dc.subject.jelC5en_US
dc.subject.ddc330en_US
dc.subject.keywordreal-time-dataen_US
dc.subject.keywordtime-varying parameteren_US
dc.subject.keywordKalman filteren_US
dc.subject.keywordtrend growthen_US
dc.subject.stwRealzinsen_US
dc.subject.stwGleichgewichten_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwStatistischer Fehleren_US
dc.subject.stwVereinigte Staatenen_US
dc.subject.stwreal-time-dataen_US
dc.titleEstimating equilibrium real interest rates in real-timeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn473007037en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:2298-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
200432dkp.pdf403.68 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.