Estimating the natural interest rate for Italy and the Netherlands

Detalhes bibliográficos
Autor(a) principal: Mendonça, Alexandre Duarte de Sousa Vale
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/22239
Resumo: Estimating the natural interest rate is fundamental for the proper definition of the stance of monetary policy. This research applies the Kalman filter to jointly estimate the natural interest rate, potential output and its growth rate for Italy and the Netherlands. The results indicate a decreasing trend in the natural interest rates and point out that a single monetary policy may not optimally suit both countries. There is a link between the real interest rate gap and the output gap, and the estimates of the natural interest rate are subject to a high degree of uncertainty.
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spelling Estimating the natural interest rate for Italy and the NetherlandsKalman filterNatural interest rateMonetary policyEuro areaDomínio/Área Científica::Ciências Sociais::Economia e GestãoEstimating the natural interest rate is fundamental for the proper definition of the stance of monetary policy. This research applies the Kalman filter to jointly estimate the natural interest rate, potential output and its growth rate for Italy and the Netherlands. The results indicate a decreasing trend in the natural interest rates and point out that a single monetary policy may not optimally suit both countries. There is a link between the real interest rate gap and the output gap, and the estimates of the natural interest rate are subject to a high degree of uncertainty.Franco, FrancescoRUNMendonça, Alexandre Duarte de Sousa Vale2017-07-28T09:49:37Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/22239TID:201713489enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:09:40Zoai:run.unl.pt:10362/22239Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:27:12.275420Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Estimating the natural interest rate for Italy and the Netherlands
title Estimating the natural interest rate for Italy and the Netherlands
spellingShingle Estimating the natural interest rate for Italy and the Netherlands
Mendonça, Alexandre Duarte de Sousa Vale
Kalman filter
Natural interest rate
Monetary policy
Euro area
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Estimating the natural interest rate for Italy and the Netherlands
title_full Estimating the natural interest rate for Italy and the Netherlands
title_fullStr Estimating the natural interest rate for Italy and the Netherlands
title_full_unstemmed Estimating the natural interest rate for Italy and the Netherlands
title_sort Estimating the natural interest rate for Italy and the Netherlands
author Mendonça, Alexandre Duarte de Sousa Vale
author_facet Mendonça, Alexandre Duarte de Sousa Vale
author_role author
dc.contributor.none.fl_str_mv Franco, Francesco
RUN
dc.contributor.author.fl_str_mv Mendonça, Alexandre Duarte de Sousa Vale
dc.subject.por.fl_str_mv Kalman filter
Natural interest rate
Monetary policy
Euro area
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Kalman filter
Natural interest rate
Monetary policy
Euro area
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Estimating the natural interest rate is fundamental for the proper definition of the stance of monetary policy. This research applies the Kalman filter to jointly estimate the natural interest rate, potential output and its growth rate for Italy and the Netherlands. The results indicate a decreasing trend in the natural interest rates and point out that a single monetary policy may not optimally suit both countries. There is a link between the real interest rate gap and the output gap, and the estimates of the natural interest rate are subject to a high degree of uncertainty.
publishDate 2017
dc.date.none.fl_str_mv 2017-07-28T09:49:37Z
2017-01-20
2017-01-20T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/22239
TID:201713489
url http://hdl.handle.net/10362/22239
identifier_str_mv TID:201713489
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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