Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208291
Authors: 
Brand, Claus
Mazelis, Falk
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2257
Abstract: 
We estimate the natural rate of interest for the US and the euro area in a semi-structural model comprising a Taylor rule. Our estimates feature key elements of Laubach and Williams (2003), but are more consistent with using conventional policy rules: we model inflation to be stationary, with the output gap pinning down deviations of inflation from its objective (rather than relative to a random walk). We relax some constraints on the correlation of latent factor shocks to make the original unobserved-components framework more amenable to structural interpretation and to reduce filtering uncertainty. We show that resulting natural rate metrics are more consistent with estimates from structural models.
Subjects: 
Natural Rate of Interest
Equilibrium Real Rate
Taylor Rule
Bayesian Estimation
Unobserved Components
Beveridge-Nelson Decomposition
JEL: 
C11
E32
E43
E52
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3519-7
Document Type: 
Working Paper

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