Beechey, Meredith, Österholm, Pär, Poon, Aubrey (2023) Estimating the US trend short-term interest rate. Finance Research Letters, 55 (Part A). Article Number 103913. ISSN 1544-6123. (doi:10.1016/j.frl.2023.103913) (KAR id:103837)
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| Official URL: https://doi.org/10.1016/j.frl.2023.103913 |
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Abstract
We estimate the trend short-term interest rate in the United States using an unobserved-components stochastic-volatility model with interest-rate and survey data from 1998Q2 to 2022Q4. Our results indicate that the trend short-term interest rate has drifted down during most of the sample and remains low in a historical perspective, despite the recent sharp increase in the short-term interest rate.
| Item Type: | Article |
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| DOI/Identification number: | 10.1016/j.frl.2023.103913 |
| Subjects: | H Social Sciences |
| Institutional Unit: | Schools > School of Economics and Politics and International Relations > Economics |
| Former Institutional Unit: |
Divisions > Division of Human and Social Sciences > School of Economics
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| Funders: | Örebro University (https://ror.org/05kytsw45) |
| Depositing User: | Aubrey Poon |
| Date Deposited: | 09 Nov 2023 12:12 UTC |
| Last Modified: | 22 Jul 2025 09:17 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/103837 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Poon, Aubrey.
| Creator's ORCID: |
 https://orcid.org/0000-0003-2587-8779
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