The evolution of the natural rate of interest : evidence from the Scandinavian countries

Hanna Armelius, Martin Solberger, Erik Spånberg and Pär Österholm

In this paper, the natural rate of interest in Denmark, Norway and Sweden are estimated. This is done by augmenting the Laubach and Williams (2003) framework with a dynamic factor model linked to economic indicators - a modelling choice which allows us to better identify business cycle fluctuations. We estimate the model using Bayesian methods on data ranging from 1990Q1 to 2022Q4. The results indicate that the natural rate has declined substantially and in all countries is at a low level at the end of the sample.

MoreLess

Year of publication:	[2023]
Authors:	Armelius, Hanna ; Solberger, Martin ; Spånberg, Erik ; Österholm, Pär
Publisher:	Örebro, Sweden : Örebro University School of Business
Subject:	Monetary policy \| Business cycle \| Bayesian filter \| Dynamic factor model \| Geldpolitik \| Konjunktur \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis \| Nordeuropa \| Northern Europe \| Zins \| Interest rate

freely available

Full text |

More access options

www.oru.se

econpapers.repec.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (circa 29 Seiten) Illustrationen
Series:	Working paper. - Örebro, Sweden : Örebro University School of Business, ISSN 1403-0586, ZDB-ID 3076307-1. - Vol. 2023, 8
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/274607 [Handle]
Classification:	E31 - Price Level; Inflation; Deflation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014252436