Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153231
Authors: 
Benati, Luca
Vitale, Giovanni
Year of Publication: 
2007
Series/Report no.: 
ECB Working Paper 797
Abstract: 
We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time-variation in (i) the data-generation process for inflation, which we capture via a time-varying parameters specification for the Phillips curve portion of the model; and (ii) the volatilities of disturbances to inflation and cyclical (log) output, which we capture via break tests. Time-variation in the natural rate of interest is estimated to have been comparatively large for the United States, and especially for the Euro area, and smaller for Australia and the United Kingdom. Overall, natural rate estimates are characterised by a significant extent of uncertainty.
Subjects: 
monetary policy
Natural rate of interest
time-varying parameters
JEL: 
E31
E32
E52
Document Type: 
Working Paper

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