Real-time estimation of the equilibrium real interest rate: Evidence from Japan

Shingo Umino ()

The North American Journal of Economics and Finance, 2014, vol. 28, issue C, 17-32

Abstract: This study demonstrates quantitatively the degree to which uncertainty originates from the revision of data inherent in the real-time estimation of the Japan's equilibrium real interest rate (ERR). It also presents some attempts to reduce that uncertainty. Results show that markedly high uncertainty results from data revision. A modified model is proposed to estimate a more credible ERR that includes lowered uncertainty with revision-free data. Furthermore, the Bank of Japan, while facing that uncertainty, has made three judgment errors because it did not recognize reliable ERR.

Keywords: Equilibrium real interest rate; Real-time estimate; Data revision; TANKAN; Weighted DI (search for similar items in EconPapers)
JEL-codes: C5 E1 E5 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:28:y:2014:i:c:p:17-32

DOI: 10.1016/j.najef.2014.01.001

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