Interest rates have fallen worldwide in recent decades, a phenomenon that has been linked at least in part to a decline in the natural rate of interest, r* (a.k.a. “r-star”). To investigate this decline, we consider a multivariate trend-cycle decomposition of real interest rates using a...

Multivariate time series may contain outliers of different types. In presence of such outliers, applying standard multivariate time series techniques becomes unreliable. A robust version of multivariate exponential smoothing is proposed. The method is affine equivariant, and involves the...