Estimates and projections of the natural rate of interest for Poland and the euro area

Marcin Bielecki, Aneta Błażejowska (), Michal Brzoza-Brzezina, Kamila Kuziemska-Pawlak and Grzegorz Szafrański
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Aneta Błażejowska: Narodowy Bank Polski

No 364, NBP Working Papers from Narodowy Bank Polski

Abstract: We use a wide range of models (time series, semi-structural and structural) to estimate, project and explain the evolution of the natural rate of interest (NRI) in Poland (PL) and in the euro area (EA). Our findings are as follows: (i) the NRIs declined significantly in both PL and the EA over the last two decades, (ii) our most recent short-term estimates point towards a mildly negative NRI in PL and appreciably more negative NRI in the EA, (iii) our most recent medium-term estimates point towards a mildly positive NRI in PL and a slightly negative NRI in the EA, (iv) the NRI in PL remained consistently above the NRI in the EA by an average of 2-3 pp, (v) the main drivers of the declining NRIs were demographics and the worldwide productivity slowdown, (vi) the main driver of the higher NRI in PL than in the EA was the productivity catch-up in PL, (vii) we expect the NRI in PL to significantly converge to the EA level by the mid-2030s.

Keywords: natural rate of interest; monetary policy; Poland; euro area. (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Pages: 60
Date: 2023
Note: The views expressed in the paper are solely our own and do not reflect the position of Narodowy Bank Polski. We wish to thank an anonymous referee, as well as the participants of the NBP seminar, Joint Deutsche Bundesbank & Narodowy Bank Polski Seminar in Gdańsk and 5th Warsaw Money-Macro-Finance Conference for comments and discussions.
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Journal Article: Estimates and Projections of the Natural Rate of Interest for Poland and the Euro Area (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:364

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