Measuring the natural rate of interest

• 成果类型: Article
• 署名作者: Laubach, T; Williams, JC
• 署名单位: Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465303772815934
• 发表日期: 2003-11
• 页码: 1063-1070
• 关键词: business cycles; term-structure; variance; output

摘要

The natural rate of interest-the real interest rate consistent with output equaling its natural rate and stable inflation-plays a central role in macroeconomic theory and monetary policy. Estimation of the natural rate of interest, however, has received little attention. We apply the Kalman filter to estimate jointly time-varying natural rates of interest and output and trend growth. We find a close link between the natural rate of interest and the trend growth rate, as predicted by theory. Estimates of the natural rate of interest, however, are very imprecise and subject to considerable real-time measurement error.