Calculating the Natural Rate of Interest: A Comparison of Two Alternative Approaches

By Thomas A. Lubik, C. Matthes. 2015

131 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e2358bd7a37f4894789c95e9bdc6217584e81917

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1. Marco del Negro
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Citations in the corpus

• Global trends in interest rates (2018, unknown): “…variants of r∗ with data from the United States includes Justiniano and Primiceri (2010), Barsky et al. (2014), Curdia et al. (2015), Kiley (2015), Lubik and Matthes (2015), Pescatori and Turunen (2015), Christensen and Rudebusch (2017), Crump et al. (2016), Johannsen and Mertens (2016), and…”
• Safety, Liquidity, and the Natural Rate of Interest (2017, methodology): “(2) In the long run, this implies that trends in the convenience yield may drive trends in rt*. This is the main hypothesis we explore quantitatively in this paper. Our two approaches to estimating rt * are related to the popular model developed by Thomas Laubach and John Williams (2003). Their fram”