Measuring the Natural Rate of Interest: International Trends and Determinants
Measuring the Natural Rate of Interest: International Trends and Determinants
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DOI：
10.17016/feds.2016.073
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发表时间：
2016-08
期刊：
影响因子：
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通讯作者：
K. Holston;Thomas Laubach;John C. Williams
中科院分区：
文献类型：
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作者：
K. Holston;Thomas Laubach;John C. Williams
自全球金融危机爆发以来，美国对自然利率的估计大幅下降。自然利率是指在没有暂时干扰的情况下普遍存在的实际短期利率。例如，使用劳巴赫-威廉姆斯（2003）模型的估计表明，在危机期间，美国的自然比率降至接近于零，并一直保持到2015年底。对这种下降的解释包括人口结构的变化、趋势生产率增长的放缓，以及影响实际利率的全球因素。本文将劳巴赫-威廉姆斯方法应用于美国和其他三个发达经济体——加拿大、欧元区和英国。我们发现，在过去25年里，这四个经济体的趋势GDP增长率和自然利率都出现了大幅下降。研究发现，这些按国家计算的估计值在一段时间内显示出大量的变动，这表明全球因素在形成趋势增长和自然利率方面发挥了重要作用。
U.S. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the natural rate in the United States fell to close to zero during the crisis and has remained there through the end of 2015. Explanations for this decline include shifts in demographics, a slowdown in trend productivity growth, and global factors affecting real interest rates. This paper applies the Laubach-Williams methodology to the United States and three other advanced economies – Canada, the Euro Area, and the United Kingdom. We find that large declines in trend GDP growth and natural rates of interest have occurred over the past 25 years in all four economies. These country-by-country estimates are found to display a substantial amount of comovement over time, suggesting an important role for global factors in shaping trend growth and natural rates of interest.