Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274607 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 8/2023
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper, the natural rate of interest in Denmark, Norway and Sweden are estimated. This is done by augmenting the Laubach and Williams (2003) framework with a dynamic factor model linked to economic indicators - a modelling choice which allows us to better identify business cycle fluctuations. We estimate the model using Bayesian methods on data ranging from 1990Q1 to 2022Q4. The results indicate that the natural rate has declined substantially and in all countries is at a low level at the end of the sample.
Subjects: 
Monetary policy
Business cycle
Bayesian filter
Dynamic factor model
JEL: 
E31
E43
E52
Document Type: 
Working Paper

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