Résumés
Abstract
The natural rate of interest is an unobservable entity and its measurement presents some important empirical challenges. In this paper, we use identification-robust methods and central bank real-time staff projections to obtain estimates for the equilibrium real rate from contemporaneous and forward-looking Taylor-type interest rate rules. The methods notably account for the potential presence of endogeneity, under-identification, and errors-in-variables concerns.
Our applications are conducted on Canadian data. The results reveal some important identification difficulties associated with some of our models, reinforcing the need to use identification-robust methods to estimate such policy functions. Despite these challenges, we are able to obtain fairly comparable point estimates for the real equilibrium interest rate across our different models, and in the case of the best fitting model, also remarkable estimate precision.
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Parties annexes
Acknowledgements
Many thanks to the editors and an anonymous referee for comments and suggestions. Thanks also to Jean Boivin, Sharon Kozicki, Pierre St-Amant, Dalibor Stevanovic, as well as to seminar participants at the Bank of Canada, the 2011 Canadian Economic Association Conference, and the Société canadienne de science économique Conference for comments and suggestions. The views in this paper are my own and do not necessarily reflect those of the Bank of Canada.
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