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Measuring the World Natural Rate of Interest

Mark Wynne () and Ren Zhang ()

No 315, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper makes the first attempt to estimate the time-varying natural rate jointly with the output gap and trend potential output growth for the world as a whole using a simple unobserved components model broadly following the methodology developed by Laubach and Williams (2003). We find that the world natural rate has been trending down for the past few decades. Nearly half of the variation in the natural rate is accounted for by the trend potential output growth rate. However, the relationship between the world natural interest rate and the world trend growth is modest and not statistically significant.

JEL-codes: C32 E32 E4 E52 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2017-06-01
New Economics Papers: this item is included in nep-mac and nep-mon
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https://www.dallasfed.org/institute/~/media/docume ... apers/2017/03152.zip Codes (application/zip)

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Journal Article: MEASURING THE WORLD NATURAL RATE OF INTEREST (2018) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:315

DOI: 10.24149/gwp315

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