Measuring the World Natural Rate of Interest
Mark Wynne () and
Ren Zhang ()
No 315, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
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
New Economics Papers: this item is included in nep-mac and nep-mon
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Journal Article: MEASURING THE WORLD NATURAL RATE OF INTEREST (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:315
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