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dc.contributor.authorClark, Todd E.en
dc.contributor.authorKozicki, Sharonen
dc.date.accessioned2009-01-28T15:58:59Z-
dc.date.available2009-01-28T15:58:59Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2004,32en
dc.subject.jelE52en
dc.subject.jelC3en
dc.subject.jelE4en
dc.subject.jelC5en
dc.subject.ddc330en
dc.subject.keywordreal-time-dataen
dc.subject.keywordtime-varying parameteren
dc.subject.keywordKalman filteren
dc.subject.keywordtrend growthen
dc.subject.stwRealzinsen
dc.subject.stwGleichgewichten
dc.subject.stwSchätzungen
dc.subject.stwStatistischer Fehleren
dc.subject.stwVereinigte Staatenen
dc.subject.stwreal-time-dataen
dc.titleEstimating equilibrium real interest rates in real-time-
dc.typeWorking Paperen
dc.identifier.ppn473007037en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:2298en

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