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Estimating the US trend short-term interest rate

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)

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
DOI/Identification number: 10.1016/j.frl.2023.103913
Subjects: H Social Sciences
Divisions: Divisions > Division of Human and Social Sciences > School of Economics
Funders: Örebro University (https://ror.org/05kytsw45)
Depositing User: Aubrey Poon
Date Deposited: 09 Nov 2023 12:12 UTC
Last Modified: 11 Jan 2024 11:02 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/103837 (The current URI for this page, for reference purposes)

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