Time-varying Nairu and real interest rates in the Euro Area

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 351

Classification and Topics

• Classification: Wirtschaft ; Business Fluctuations; Cycles ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy
• Subject: Nairu ; Monetary Policy ; Kalman Filter ; Phillips curve ; Superneutrality ; Natürliche Arbeitslosigkeit ; Phillips-Kurve ; Geldpolitik ; Realzins ; Europäische Wirtschafts- und Währungsunion ; Schätzung ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Logeay, Camille ; Tober, Silke
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/18087
• Last update: 10.03.2025, 11:43 AM CET