Measuring the Natural Rates of Interest in Germany and Italy

• Autorzy: Victor Bystrov
• Języki publikacji: EN

Abstrakty

EN

In this paper a semi-structural econometric model is implemented in order to estimate the natural rates of interest in two large economies of the Euro Area: Germany an Italy. The estimates suggest that after the financial crisis of 2007-2008 a decrease of the growth rate of potential output and the corresponding natural rate of interest was greater in Italy than in Germany which could have had important implications for the effectiveness of a common monetary policy. Unlike in other studies, it is found that the monetary policy stance was less expansionary in Italy as compared to Germany for the whole after-crisis period. (original abstract)

Słowa kluczowe

EN

Natural interest rate; Econometric models; Kalman filters

PL

Naturalna stopa procentowa (NSP); Modele ekonometryczne; Filtry Kalmana

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2018
• Tom: 10
• Numer: nr 4
• Strony: 333--353

Twórcy

autor

Victor Bystrov

• University of Lodz, Poland

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2018.125875