أعرض تسجيلة المادة بشكل مبسط

dc.creator Clark, Todd E.
dc.creator Kozicki, Sharon
dc.date 2004
dc.date.accessioned 2013-10-16T07:05:18Z
dc.date.available 2013-10-16T07:05:18Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19499
dc.identifier ppn:473007037
dc.identifier RePEc:zbw:bubdp1:2298
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19499
dc.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.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2004,32
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E52
dc.subject C3
dc.subject E4
dc.subject C5
dc.subject ddc:330
dc.subject real-time-data
dc.subject time-varying parameter
dc.subject Kalman filter
dc.subject trend growth
dc.subject Realzins
dc.subject Gleichgewicht
dc.subject Schätzung
dc.subject Statistischer Fehler
dc.subject Vereinigte Staaten
dc.subject real-time-data
dc.title Estimating equilibrium real interest rates in real-time
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط