Dynamics of the natural rate of interest and monetary policy
Davtyan, Karen (Universitat Autònoma de Barcelona)

Date:	2025
Abstract:	This paper studies the relation between the monetary policy rate and the natural rate of interest in the euro area and the United States across the periods of conventional monetary policy (CMP) and unconventional monetary policy (UMP). The unobserved time series of the natural rate of interest is estimated at the monthly frequency at which the relation between the policy rate and the natural rate is evaluated. The results indicate that the dynamics of the policy rate was positively and significantly related to the variations in the natural rate during the CMP period. The relation twisted during the UMP period.
Grants:	Agencia Estatal de Investigación PID2022-136482OB-I00
Note:	Altres ajuts: acords transformatius de la UAB
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, la comunicació pública de l'obra i la creació d'obres derivades, fins i tot amb finalitats comercials, sempre i quan es reconegui l'autoria de l'obra original.
Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Subject:	Monetary policy ; Monthly estimates ; Natural rate of interest ; Zero lower bound
Published in:	Finance Research Letters, Vol. 72 (2025) , p. 106475, ISSN 1544-6131
Related work:	Davtyan, Karen, 2025, "Monthly Estimates of the Natural Rate of Interest", CORA. Repositori de Dades de Recerca https://doi.org/10.34810/data1957

DOI: 10.1016/j.frl.2024.106475

8 p, 1.1 MB

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