Erschienen in:National Bank of Poland Working Paper ; No. 108
Umfang:
1 Online-Ressource (32 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2024958
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2012 erstellt
Beschreibung:
We generalize the concept of the natural rate of interest (Laubach and Williams, 2003; Woodford, 2003) by defining and estimating the the natural yield curve (NYC) - the term structure of natural interest rates. Our motivation stems i.a. from the observation that at times when central banks attempt to directly affect long-term interest rates (e.g. via quantitative easing) the gap between the short-term real and natural rate is no more a good indicator of the monetary policy stance. We estimate the NYC on US data, document its main properties and show i.a. that in the period 2008-2011 the NYC allows to better capture the US monetary policy stance than the short-term natural rate