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Simple Estimations of the Natural Rate of Interest and the Expected Inflation Rate
https://chuo-u.repo.nii.ac.jp/records/17857
https://chuo-u.repo.nii.ac.jp/records/1785778687dbf-f41d-43c5-b29c-686cf1c0b811
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
本文を見る (633.6 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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| 公開日 | 2023-01-11 | |||||
| タイトル | ||||||
| タイトル | Simple Estimations of the Natural Rate of Interest and the Expected Inflation Rate | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | natural rate of interest | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | inflation expectations | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Carlson-Parkin method | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Hodrick-Prescott filter | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | C53 | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | E31 | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | E32 | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | E37 | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| 著者 |
NAKAHIRA, Kazuhiko
× NAKAHIRA, Kazuhiko |
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| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 59767 | |||||
| 姓名 | 中平, 千彦 | |||||
| 姓名 | ナカヒラ，カズヒコ | |||||
| 言語 | ja-Kana | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The natural rate of interest is an important concept since it is a kind of reference for economists in that this is a significant determinant of a variety of policy rules used to characterize monetary policy. Generally, the natural rate of interest is defined as the real short-term interest rate consistent with the output equaling its potential level or the one reflecting stable prices. Estimation of the natural rate of interest is required since it cannot be observed directly. One of the simple ways of estimating the natural rate of interest is to extract the trend of the real short-term interest rate. If the central bank is inclined to raise the policy interest rate when it acknowledges an inflationary pressure or excess demand and if such a policy implementation is smoothly transmitted into adjustment processes of prices and economic activities, observed short-term real interest rate should behave closely around the evolutionary pass of the natural rate of interest. In this sense, statistically extracted trend of real short-term interest rate can be presumed as the estimated value of the natural rate of interest. We utilize the Hodrick-Prescott filter for our extraction. On the other hand, we should have the estimation of expected inflation rate in order to acquire real short-term interest rate if we follow the Fisher equation. In this paper, Kanoh (2006) procedure is adopted to estimate the expected inflation rate. Our estimation result brings us to the conclusion that the natural rate of interest in Japan is likely to show a substantial decline in recent 20 years. | |||||
| 書誌情報 |
経済研究所 Discussion Paper en : IERCU Discussion Paper 巻 379, 発行日 2022-12-20 |
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| 出版者 | ||||||
| 出版者 | 中央大学経済研究所 | |||||
| 権利 | ||||||
| 権利情報 | この資料の著作権は、資料の著作者または学校法人中央大学に帰属します。著作権法が定める私的利用・引用を超える使用を希望される場合には、掲載誌発行部局へお問い合わせください。 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 著者版フラグ | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
