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Measuring the Natural Rate of Interest
Open accessAbstract
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.
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Cites
A contribution to the theory of economic growth
Solow, R. M. (1956) · The Quarterly Journal of Economics · doi:10.2307/1884513 · Cited by 24,483
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
Cited by
The Resurgence of Growth in the Late 1990s: Is Information Technology the Story?
Oliner, S. D., & Sichel, D. E. (2000) · Journal of Economic Perspectives · doi:10.1257/jep.14.4.3 · Cited by 1,845
U.S. Economic Prospects: Secular Stagnation, Hysteresis, and the Zero Lower Bound
Summers, L. H. (2014) · Business Economics · doi:10.1057/be.2014.13 · Cited by 1,018
The Macroeconomics of Trend Inflation
Ascari, G., & Sbordone, A. M. (2014) · Journal of Economic Literature · doi:10.1257/jel.52.3.679 · Cited by 292
Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?
CHUNG, H., LAFORTE, J., REIFSCHNEIDER, D., & WILLIAMS, J. C. (2012) · Journal of Money, Credit and Banking · doi:10.1111/j.1538-4616.2011.00478.x · Cited by 278
Self-citationImperfect Information, Real‐Time Data and Monetary Policy in the Euro Area
Neri, S., & Ropele, T. (2012) · The Economic Journal · doi:10.1111/j.1468-0297.2011.02488.x · Cited by 269
Metadata
- Authors
- Laubach, T., & Williams, J. C.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2003-11
- Volume
- 85
- Issue
- 4
- Pages
- 1063-1070
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2096064009
- Cited by
- 1,058
- References
- 2
- FWCI
- 53.32
- Type
- journal article
- Language
- en
- Open access
- green
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- Laubach, T., & Williams, J. C. (2003). Measuring the Natural Rate of Interest. Review of Economics and Statistics. https://doi.org/10.1162/003465303772815934
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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