A Multi‐Country Approach to Estimate the Euro‐Area Natural Real Interest Rate
构建了一个欧元区20个成员国的多国模型，用贝叶斯方法估算共同自然利率，相比单变量方法提高了估计精度和实时可靠性，并发现自然利率长期下降趋势及区域收敛。
ABSTRACT We set up a semi‐structural unobserved components multi‐country model of the eurozone. The common euro‐area natural rate of interest (NRI) is identified from the joint dynamics of the national data of its 20 member countries and estimated using Bayesian methods. Relative to a univariate approach, the model offers a substantial improvement in the precision of measuring the NRI and in the reliability of its real‐time performance. The results confirm previous findings of a secular decline in the NRI, with our model generating a smoother path. Estimation of different subgroups of eurozone countries indicates convergence of regional NRIs to the euro‐area NRI in the late 2010s and early 2020s.