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Time-Varying Nairu and Real Interest Rates in the Euro Area

Camille Logeay and Silke Tober

No 24, Economics Working Papers from European Network of Economic Policy Research Institutes

Abstract: This paper analyses the Nairu in the euro area and the influence that monetary policy had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early 1970s. The Kalman-filter technique is applied here for the first time using explicit exogenous variables. In particular, real interest rates were found to explain a quarter of the increase in the Nairu between 1980 and 1995. This indicates the possibility of a long-run nonsuperne utrality of monetary policy.

Keywords: Nairu; Monetary Policy; Kalman Filter; Phillips curve; Superneutrality. (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2003-10
New Economics Papers: this item is included in nep-eec and nep-mon
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Citations: View citations in EconPapers (38)

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