A Time‐Series Model of Interest Rates with the Effective Lower Bound
提出一种包含影子利率的灵活时间序列方法，用于建模名义利率的有效下限，并将其应用于利率的趋势周期分解和宏观经济变量，生成有竞争力的利率预测。
Abstract Modeling nominal interest rates requires to take into account the effective lower bound (ELB). We propose a flexible time‐series approach that includes a “shadow rate”—a notional rate identical to the actual nominal rate except when the ELB binds . We apply this approach to a trend‐cycle decomposition of interest rates and macro‐economic variables that generates competitive interest‐rate forecasts. Our estimates of the real‐rate trend have edged down somewhat in recent decades, but not significantly so. We identify monetary policy shocks from shadow‐rate surprises and find that they were particularly effective at stimulating economic activity during the ELB period.