Natural Rate of Interest

Yang Han · Jun Ma

This paper proposes a shadow rate no-arbitrage dynamic term structure model (SDTSM) with drifting trends to estimate the long-run trend of the real interest rate using yield curve data from the U.S., …

Luca Benati

Building on the finding that the velocity of M1 is, to a close approximation, the permanent component of short-term nominal interest rates, this paper proposes estimating the natural rate of interest …

Adrien Auclert · Hannes Malmberg · Frédéric Martenet · Matthew Rognlie

A popular argument — the "asset market meltdown" of the 1990s, revived as the "great demographic reversal" — holds that once the old start running down their savings, aging will push interest rates …

Verónica Bäcker-Peral · Jonathon Hazell · Atif Mian

Each month a fraction of UK property leases are extended by 90 years or more, creating thousands of natural experiments in which the same property's rent and capital value are revealed simultaneously. …

Jeffery D. Amato · Thomas Laubach

Adding habit formation in consumption to an optimising sticky-price model changes both the IS curve and the Phillips curve, makes the variance of output itself -- not only the output gap -- …

Sandra Daudignon · Oreste Tristani

This paper analyzes how monetary policy should respond to a long-run natural interest rate that can drift permanently — following a bounded random walk with upper bound 3 percent and lower bound 0 …

Michael Woodford

Against fears that electronic money will erode central banks' monopoly over a monetary base and so undermine their power to control inflation, Woodford argues that monetary policy works through …

Michael T. Kiley

This paper examines optimal monetary policy under discretion when the loss function is asymmetric — placing greater weight on employment shortfalls than on equivalently sized employment strength. The …

Michael Woodford

Evaluating Taylor's interest-rate rule against an explicit optimizing New Keynesian model, this paper coins the "Taylor principle" -- that the nominal rate must eventually rise by more than any …

Sebastian Di Tella · Benjamin Hébert · Pablo Kurlat · Qitong Wang

This paper proposes and measures the zero-beta rate — the expected return on a portfolio of stocks with zero market beta, constructed to be orthogonal to the SDF innovations spanned by standard …