Measuring the Natural Rates of Interest in Germany and Italy
DOI:
https://doi.org/10.24425/cejeme.2018.125875Keywords:
natural rate of interest, potential output, Euro Area, state-space model, Kalman filterAbstract
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.
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Published
2018-10-22
How to Cite
Bystrov, V. (2018). Measuring the Natural Rates of Interest in Germany and Italy. Central European Journal of Economic Modelling and Econometrics, 10(4), 333–353. https://doi.org/10.24425/cejeme.2018.125875
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Copyright (c) 2025 Victor Bystrov
This work is licensed under a Creative Commons Attribution 4.0 International License.
