Measuring the Natural Rate of Interest
用卡尔曼滤波联合估计随时间变化的自然利率、自然产出和趋势增长，发现自然利率与趋势增长密切相关，但估计结果不精确且存在实时测量误差。
The natural rate of interest-the real interest rate consistent with output equaling its natural rate and stable inflation-plays a central role in macroeconomic theory and monetary policy. Estimation of the natural rate of interest, however, has received little attention. We apply the Kalman filter to estimate jointly time-varying natural rates of interest and output and trend growth. We find a close link between the natural rate of interest and the trend growth rate, as predicted by theory. Estimates of the natural rate of interest, however, are very imprecise and subject to considerable real-time measurement error. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.