Two alternative specifications
In this paper, Lewis and Vazquez-Grande extend Laubach and Williams (2003) work by estimating all the model parameters jointly and exploring alternative specifications for the unobserved processes that compose the natural rate.
Measuring the Natural Rate of Interest: Alternative Specifications
Authors: Kurt F. Lewis, Francisco Vazquez-Grande
From: Federal Reserve Board
Del Negro and al. are using two models to estimate the natural rate of interest and its main drivers: a) a flexible multivariate unobserved component model; and b) a medium-scale DSGE model with nominal and financial frictions.
Safety, Liquidity, and the Natural Rate of Interest
Authors: Marco Del Negro, Domenico Giannone, Marc P. Giannoni, Andrea Tambalotti
From: Federal Reserve Bank of New York
Forecasting interest rates with macro trends
In this paper Bauer and Rudebusch suggest that the accuracy of long-range interest rate forecasts substantially improves by allowing time variation in both r∗ and π∗.
Interest Rates Under Falling Stars
Authors: Michael D. Bauer, Glenn D. Rudebusch
From: Federal Reserve Bank of San Francisco
