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  1. Measuring the natural rate of interest after COVID-19
    Author: Holston, Kathryn; Laubach, Thomas; Williams, John C.
    Published: [2023]
    Publisher:  Federal Reserve Bank of New York, [New York, NY]

    We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 207
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    We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area at the end of 2022 are close to their respective levels estimated directly before the pandemic; that is, we do not find evidence that the era of historically low estimated natural rates of interest has ended. In contrast, estimates of the natural rate of output have declined relative to those projected before the pandemic.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284023
    Series: Staff reports / Federal Reserve Bank of New York ; no. 1063 (June 2023)
    Subjects: natural rate of output; time-varying volatility; Kalman filter; trend growth; COVID-19pandemic
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  2. Measuring the natural rate of interest
    international trends and determinants
    Author: Holston, Kathryn; Laubach, Thomas; Williams, John C.
    Published: August 19, 2016
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    U.S. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis. For example, estimates using the... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan

     

    U.S. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the natural rate in the United States fell to close to zero during the crisis and has remained there through the end of 2015. Explanations for this decline include shifts in demographics, a slowdown in trend productivity growth, and global factors affecting real interest rates. This paper applies the Laubach-Williams methodology to the United States and three other advanced economies – Canada, the Euro Area, and the United Kingdom. We find that large declines in trend GDP growth and natural rates of interest have occurred over the past 25 years in all four economies. These country-by-country estimates are found to display a substantial amount of comovement over time, suggesting an important role for global factors in shaping trend growth and natural rates of interest

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Finance and economics discussion series ; 2016, 073
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  3. Measuring the natural rate of interest
    international trends and determinants
    Author: Holston, Kathryn; Laubach, Thomas; Williams, John C.
    Published: August 2016
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
    Inter-library loan:
    No inter-library loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2016, 11
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen