Estimating equilibrium real interest rates in real-time

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19499

Title:	Estimating equilibrium real interest rates in real-time
Keywords:	E52 C3 E4 C5 ddc:330 real-time-data time-varying parameter Kalman filter trend growth Realzins Gleichgewicht Schätzung Statistischer Fehler Vereinigte Staaten real-time-data
Issue Date:	16-Oct-2013
Description:	We use a range of simple models and 22 years of real-time data vintages for the U.S. to assess the difficulties of estimating the equilibrium real interest rate in real time. Model specifications differ according to whether the time-varying equilibrium real rate is linked to trend growth, and whether potential output and growth are defined by the CBO?s estimates or treated as unobserved variables. Our results reveal a high degree of specification uncertainty, an important one-sided filtering problem, and considerable imprecision due to data uncertainty. Also, the link between trend growth and the equilibrium real rate is shown to be quite weak. Overall, we conclude that statistical estimates of the equilibrium real rate will be difficult to use reliably in practical policy applications.
URI:	http://koha.mediu.edu.my:8181/xmlui/handle/10419/19499
Other Identifiers:	http://hdl.handle.net/10419/19499 ppn:473007037 RePEc:zbw:bubdp1:2298
Appears in Collections:	EconStor

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