Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19499
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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. toassess the difficulties of estimating the equilibrium real interest rate in real time. Modelspecifications differ according to whether the time-varying equilibrium real rate islinked to trend growth, and whether potential output and growth are defined by theCBO?s estimates or treated as unobserved variables. Our results reveal a high degree ofspecification uncertainty, an important one-sided filtering problem, and considerableimprecision due to data uncertainty. Also, the link between trend growth and theequilibrium real rate is shown to be quite weak. Overall, we conclude that statisticalestimates of the equilibrium real rate will be difficult to use reliably in practical policyapplications.en_US
dc.language.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.-
dc.relation.ispartofseries|aDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank |x2004,32en_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-

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