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Measuring the natural rate of interest after COVID-19

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Bibliographic Details
Authors and Corporations: Holston, Kathryn (Author), Laubach, Thomas (Author), Williams, John C. (Author)
Other Authors: Laubach, Thomas [Author] • Williams, John C. 1962- [Author]
Type of Resource: E-Book
Language: English
published:
Series: Federal Reserve Bank of New York: Staff reports ; no. 1063 (June 2023)
Subjects:
natural rate of output
time-varying volatility
Kalman filter
trend growth
COVID-19pandemic
Graue Literatur
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: 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.
Physical Description: 1 Online-Ressource (circa 55 Seiten); Illustrationen