期刊名称：CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
出版年度：2018
卷号：2018
出版社：Centro de Estudios Monetarios y Financieros, Madrid
摘要：We document a rise and fall of the natural interest rate (r*) for several advanced economies, whichstarts increasing in the 1960’s and peaks around the end of the 1980’s. We reach this conclusionafter showing that the Laubach and Williams (2003) model cannot estimate r* accurately when eitherthe IS curve or the Phillips curve is flat. In those empirically relevant situations, a local levelspecification for the observed interest rate can precisely estimate r*. An estimated Panel ECMsuggests that the temporary demographic effect of the young baby-boomers mostly accounts for therise and fall.
关键词：Natural rate of interest; Kalman filter; observability; demographics.
