Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/284023 
Year of Publication: 
2023
Series/Report no.: 
Staff Report No. 1063
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area at the end of 2022 are close to their respective levels estimated directly before the pandemic; that is, we do not find evidence that the era of historically low estimated natural rates of interest has ended. In contrast, estimates of the natural rate of output have declined relative to those projected before the pandemic.
Subjects: 
natural rate of output
time-varying volatility
Kalman filter
trend growth
COVID-19pandemic
JEL: 
C32
E43
E52
O40
Document Type: 
Working Paper

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