Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/224546 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2020: Gender Economics
Verlag: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Zusammenfassung: 
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 cornerstones determining equilibrium yields across maturities and macroeconomic trends. Taking into account the secular decline in equilibrium rates, term premia exhibit cyclical behavior over the business cycle, rather than the commonly reported trend. Our estimates suggest a fall in r* from a pre-crisis level of about 3% to around zero, but estimates are subject to sizeable uncertainty. Including survey expectations can lift r* estimates for recent quarters by a margin.
Schlagwörter: 
Natural rate of interest
r*
equilibrium real rate
arbitrage-free Nelson-Siegel term structure model
term premia
unobserved components
Bayesian estimation
JEL: 
C11
C32
E43
G12
E44
E52
Dokumentart: 
Conference Paper

Datei(en):
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