Ties that bind: Estimating the natural rate of interest for small open economies

Zhang, Ren; Martínez‐García, Enrique; Wynne, Mark A.; Grossman, Valerie Aarne

doi:10.1016/j.jimonfin.2020.102315

Cited by 15 publications

(7 citation statements)

References 73 publications

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“…In recent years, the purpose of Google Trends has shifted from public opinion monitoring to trend predicting (6,7). There are also some studies that argue that monetary policy and stock market may respond to the news contained in the Baidu index and using the Baidu index to monitor and predict the trend in the number of confirmed cases in China (8)(9)(10)(11)(12)(13)(14)(15)(16)(17).…”

Section: Introductionmentioning

confidence: 99%

Baidu Index and COVID-19 Epidemic Forecast: Evidence From China

Fang

Zhang

Yang

et al. 2021

Front. Public Health

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With the global spread of the Coronavirus epidemic, search engine data can be a practical tool for decision-makers to understand the epidemic's trends. This article uses trend analysis data from the Baidu search engine, the most widely used in China, to analyze the public's attention to the epidemic and the demand for N95 masks and other anti-epidemic materials and information. This kind of analysis has become an important part of information epidemiology. We have analyzed the use of the keywords “Coronavirus epidemic,” “N95 mask,” and “Wuhan epidemic” to judge whether the introduction of real-time search data has improved the efficiency of the Coronavirus epidemic prediction model. In general, the introduction of the Baidu index, whether in-sample or out-of-sample, significantly improves the prediction efficiency of the model.

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Section: Introductionmentioning

confidence: 99%

Baidu Index and COVID-19 Epidemic Forecast: Evidence From China

Fang

Zhang

Yang

et al. 2021

Front. Public Health

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“…economic indicator in predicting the Fed's monetary policy. However, our structural model assumes a closed economy without considering international influence that have potential impacts on paths of monetary policy (see, Beckmann, Belke, & Dubova, 2022;Martinez-Garcia, 2021;Zhang et al, 2021). For future studies, it would be particularly interesting to investigate the impacts of the international environment on the natural real rate of interest in the US and globally.…”

Section: Discussionmentioning

confidence: 99%

The natural real rate of interest and monetary policy: New evidence for the US

Zhu¹,

Kavanagh

Gao

2023

Int. J Fin Econ

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We propose a new method to estimate the unobservable natural real rate of interest in the United States (US). We begin by describing the natural rate in the New Keynesian model and then theoretically linking its evolution to both demand and supply‐side shocks hitting the US economy. Our results indicate that the technology shock dominated the shift in the natural real rate of interest during the sample period 1947–2017. In addition, we also examine whether the Taylor rule should be augmented for changes in the estimated natural rate. Our maximum likelihood estimation shows that the inclusion of the natural interest rate shift in the Taylor rule leads to significant improvement of the interest rate modelling.

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“…However, if the Phillips curve is flat, inflation will not necessarily be a good indicator of whether the economy is in a boom or a bust. Therefore, these methods can be problematic when the Phillips curve is flat, which many argue that it presently is; see, for example, Zhang et al (2021) for a more detailed discussion.…”

Section: The Modelmentioning

confidence: 99%

The evolution of the natural rate of interest: evidence from the Scandinavian countries

Armelius,

Solberger,

Spånberg

et al. 2023

Empir Econ

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In this paper, the natural rate of interest in Denmark, Norway and Sweden is estimated. This is done by augmenting the Laubach and Williams (Rev Econ Stat 85:1063–1070, 2003) framework with a dynamic factor model linked to economic indicators––a modelling choice which allows us to better identify business cycle fluctuations. We estimate the model using Bayesian methods on data ranging from 1990Q1 to 2022Q4. The results indicate that the natural rate has declined substantially and in all countries is at a low level at the end of the sample.

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Ties that bind: Estimating the natural rate of interest for small open economies

Cited by 15 publications

References 73 publications

Baidu Index and COVID-19 Epidemic Forecast: Evidence From China

Baidu Index and COVID-19 Epidemic Forecast: Evidence From China

The natural real rate of interest and monetary policy: New evidence for the US

The evolution of the natural rate of interest: evidence from the Scandinavian countries

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