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- W4317490143 abstract "The trend real interest rate is important for monetary policy decision making and understanding the secular decline in interest rates. Many papers have estimated it. However, the uncertainty surrounding these estimates is substantial. Using the US data, we construct a new measure of the trend real interest rate in a data-rich environment using a large time-varying local mean Bayesian autoregression (VAR), where the posterior median of the time-varying local mean of the real interest rate is our proposed measure. This new measure is more precisely estimated and can provide valuable information to policymakers. The width of the 95% credible intervals of our proposed estimates varies from 0.83% to 3.35%. Also, the average of the width of the 95% credible intervals is 1.43%. From our new measure, we find that the trend real interest rate has declined substantially since 1982Q2 and becomes negative after 2010Q1." @default.
- W4317490143 created "2023-01-20" @default.
- W4317490143 creator A5029853665 @default.
- W4317490143 date "2023-02-01" @default.
- W4317490143 modified "2023-09-27" @default.
- W4317490143 title "Measuring the trend real interest rate in a data-rich environment" @default.
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- W4317490143 doi "https://doi.org/10.1016/j.jedc.2023.104606" @default.
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