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National natural rates of interest and the single monetary policy in the euro area

Sebastien Fries, Jean-Stéphane Mésonnier (), Sarah Mouabbi () and Jean-Paul Renne

Journal of Applied Econometrics, 2018, vol. 33, issue 6, 763-779

Abstract: We estimate time‐varying national natural real rates of interest (r∗) for the four largest economies of the euro area over 1999–2016. We further derive the associated national real interest rate gaps, which gauge the perceived monetary policy stance in each country. We find that the average r∗ have been lower after 2008. Furthermore, national r∗ were significantly negative in southern countries during the sovereign crisis. As their effective real rates soared, national rate gaps across the euro area diverged. However, a common policy stance has been restored since 2014 as the European Central Bank's unconventional programs gathered pace.

Date: 2018
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https://doi.org/10.1002/jae.2637

Related works:
Journal Article: Subjective interest rate uncertainty and the macroeconomy: A cross-country analysis (2018) Downloads
Working Paper: National natural rates of interest and the single monetary policy in the Euro Area (2016) Downloads
Working Paper: UK Term Structure Decompositions at the Zero Lower Bound (2015) Downloads
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