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Replication codes for Johannsen and Mertens Real-Rate Trend Estimate

posted Nov 10, 2019, 5:21 AM by Elmar Mertens   [ updated Nov 10, 2019, 5:21 AM ]
Replication files for my paper with Ben Johannsen on estimating the longer-run level of the real rate from a shadow-rate model are now available on GitHub

The paper has also been accepted for publication by the Journal of Money, Credit, and Banking. For the working paper and more, please see here

Compared to other estimates known from the literature, our estimate attributes more of the recent declines in real rates to a cyclical decline, thus seeing a smaller decline in the trend rate. A key feature for this result is to embed stochastic volatility into the model specification.