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Differences in natural interest rates in the Eurozone
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Resumo(s)
Differences in the natural interest rates across the countries of the Eurozone implies that the monetary policy may not be optimal for each member state individually. This research uses the model developed by Laubach and Williams (2003, 2016) to estimate the natural interest rate for each country of the Eurozone-12. With these estimates I compute the natural interest rate for the Eurozone as a weighted average of the natural rates of each country. The results show that the differences in the natural rate across the Eurozone are higher in periods of asymmetric shocks. Most of the countries also present a large difference between their rates and the Eurozone natural rate. All these estimates are associated to a high degree of uncertainty
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Palavras-chave
Natural interest rate Kalman filter Optimal monetary policy Eurozone