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The evolution of the natural rate of interest: evidence from the Scandinavian countries

Abstract
Abstract In this paper the natural rate of interest in Denmark Norway and Sweden is estimated. This is done by augmenting the Laubach and Williams (Rev Econ Stat 85:1063–1070 2003) framework with a dynamic factor model linked to economic indicators––a modelling choice which allows us to better identify business cycle fluctuations. We estimate the model using Bayesian methods on data ranging from 1990Q1 to 2022Q4. The results indicate that the natural rate has declined substantially and in all countries is at a low level at the end of the sample.
Authors
Hanna Armelius Martin Solberger Hanna Armelius: Sveriges Riksbank Martin Solberger: Uppsala University Erik Spånberg: Stockholm University Pär Österholm: Örebro University
Keywords
Monetary policy ; Business cycle ; Bayesian filter ; Dynamic factor model (search for similar items in EconPapers)
Rank
0.74
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Factor Model
Series
Empirical Economics 2024 vol. 66 issue 4 No 7 1633-1659
Time Added
2024/03/18 03:35
Total Downloads
0
Year Published
2024
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