Time-varying Nairu and Real Interest Rates in the Euro Area

This paper analyses the Nairu in the Euro Area and the influence that monetary policy had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here for the first time using explicit exogenous variables. In particular real interest rates were found to explain a quarter of the increase in the Nairu between 1980 and 1995. This indicates the possibility of a long-run non-superneutrality of monetary policy.

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Year of publication:	2003
Authors:	Logeay, Camille ; Tober, Silke
Institutions:	DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
Subject:	Nairu \| Monetary Policy \| Kalman Filter \| Phillips curve \| Superneutrality

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Extent:	application/pdf
Series:	Discussion Papers of DIW Berlin. - ISSN 1619-4535.
Type of publication:	Book / Working Paper
Notes:	Number 351 37 pages long
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004963663