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The observational equivalence of natural and unnatural rates of interest

100%
Bystrov V.
Przegląd Statystyczny
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2019
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vol. 66
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issue 3
183-199
EN
The results of the study presented in this paper demonstrate that a structural model of the natural interest rate, which is consistent with the standard assumptions of the natural rate theory, admits an interpretable, observationally equivalent representation in which a redefined, ’unnatural’ equilibrium rate is different from the natural rate in the original model. The alternative representation was obtained by an invertible transformation implemented in the minimal state-space form of the natural-rate model. The identification theory for state-space models is used in the paper to prove the observational equivalence of these two representations. In the alternative representation, the equilibrium interest rate fails to meet the assumption of the natural rate theory, because it depends on past demand shocks. The alternative model, being observationally equivalent, has different implications for the conduct of monetary policy. The problem of observational equivalence arises in relation to natural-rate models because of the inherent unobservability of the natural interest rate; a potential solution to this problem could be the augmentation of the information set which is used to identify and estimate the natural rate.
2
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Measuring the Natural Rates of Interest in Germany and Italy

75%
Bystrov V.
Central European Journal of Economic Modelling and Econometrics
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2018
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issue 4
3
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Estimates and Projections of the Natural Rate of Interest for Poland and the Euro Area

63%
Bielecki M., Brzoza-Brzezina M., Błażejowska A., Kuziemska-Pawlak K., Szafrański G.
Gospodarka Narodowa. The Polish Journal of Economics
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2024
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vol. 319
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issue 3
1-32
PL
Wykorzystujemy szeroką gamę modeli (szeregów czasowych, półstrukturalnych i strukturalnych) do oszacowania poziomów naturalnej stopy procentowej (NSP) w Polsce i strefie euro oraz wskazania czynników odpowiedzialnych za ich zmiany w czasie. Nasze ustalenia są następujące: (i) NSP znacznie spadła zarówno w Polsce, jak i w strefie euro w ciągu ostatnich dwóch dekad, (ii) nasze oszacowania „krótkoterminowe” wskazują na umiarkowanie ujemną NSP w Polsce i znacznie bardziej ujemną NSP w strefie euro, (iii) nasze oszacowania „średnioterminowe” wskazują na nieznacznie dodatnią NSP w Polsce i nieznacznie ujemną NSP w strefie euro, (iv) NSP w Polsce utrzymywała się stale powyżej NSP w strefie euro o średnio 2–3 pkt proc., (v) głównymi czynnikami powodującymi spadek NSP były demografia i ogólnoświatowe spowolnienie produktywności, (vi) głównym czynnikiem wpływającym na wyższy poziom NSP w Polsce niż w strefie euro było nadrabianie zaległości w zakresie produktywności w Polsce, (vii) oczekujemy, że NSP w Polsce zrówna się z NSP w strefie euro do połowy lat 30. XXI w.
EN
We use a wide range of models (time series, semi-structural and structural) to estimate, project and explain the evolution of the natural rate of interest (NRI) in Poland (PL) and in the euro area (EA). Our findings are as follows: (i) the NRIs declined significantly in both PL and the EA over the last two decades, (ii) our most recent short-term estimates point towards a mildly negative NRI in PL and appreciably more negative NRI in the EA, (iii) our most recent medium-term estimates point towards a mildly positive NRI in PL and a slightly negative NRI in the EA, (iv) the NRI in PL remained consistently above the NRI in the EA by an average of 2–3 pp, (v) the main drivers of the declining NRIs were demographics and the worldwide productivity slowdown, (vi) the main driver of the higher NRI in PL than in the EA was the productivity catch-up in PL, (vii) we expect the NRI in PL to significantly converge to the EA level by the mid-2030s.
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