Convenience Yield as a Driver of r*

Bálint Szőke, Francisco Vazquez-Grande and Inês Xavier
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Bálint Szőke: https://www.federalreserve.gov/econres/balint-szoke.htm
Francisco Vazquez-Grande: https://www.federalreserve.gov/econres/francisco-vazquez-grande.htm
Inês Xavier: https://www.federalreserve.gov/econres/ines-m-xavier.htm

No 2024-09-03-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: The natural rate of interest, or r*, corresponds to the short-term real interest rate that is consistent with full employment and price stability, after all temporary shocks have abated. The most popular framework to estimate r* is Laubach and Williams (2003) and Holston, Laubach, and Williams (2017, 2023) (henceforth HLW).

Date: 2024-09-03
New Economics Papers: this item is included in nep-cba and nep-fdg
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2024-09-03-1

DOI: 10.17016/2380-7172.3575

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