Cuaresma, Jesus Crespo; Gnan, Ernest; … - Oesterreichische Nationalbank - 2003
A time-varying natural rate of interest is estimated for the euro area using a multivariate unobserved components model …, using risk-unadjusted policy rates leads to periods of high risk premia being erroneously taken as monetary policy replies … to the output gap; by contrast, using risk-adjusted policy rates yields an estimate of the reaction of monetary policy to …