EconPapers    
Economics at your fingertips  
 

Money and the Natural Rate of Interest: Structural Estimates for the United States and the Euro Area

Andrés, Javier, López-Salido, J David and Edward Nelson
Authors registered in the RePEc Author Service: Javier Andrés () and J. David Lopez-Salido

No 6812, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We examine the role of money in three environments: the New Keynesian model with separable utility and static money demand; a nonseparable utility variant with habit formation; and a version with adjustment costs for holding real balances. The last two variants imply forward-looking behaviour of real money balances, with forecasts of future interest rates entering current portfolio decisions. We conduct a structural econometric analysis of the U.S. and euro area economies. FIML estimates confirm the forward-looking character of money demand. A consequence is that real money balances are valuable in anticipating future variations in the natural interest rate.

Keywords: Money; Natural rate; New keynesian models (search for similar items in EconPapers)
JEL-codes: E51 E52 (search for similar items in EconPapers)
Date: 2008-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://cepr.org/publications/DP6812 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Money and the natural rate of interest: Structural estimates for the United States and the euro area (2009) Downloads
Working Paper: Money and the natural rate of interest: structural estimates for the United States and the euro area (2008) Downloads
Working Paper: Money and the natural rate of interest: structural estimates for the United States and the Euro area (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:6812

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP6812

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

 
Page updated 2025-03-19
Handle: RePEc:cpr:ceprdp:6812