Together with my former Board colleague Ben Johannsen, we revised our work on estimating the long-run level of the real rate from a time-series model with shadow rates. In the revised version we also estimate the effects of monetary policy shocks identified from shadow-rate surprises
NEWLY REVISED working paper: pdf; accepted for publication by the JMCB. Slides for a talk are here: pdf Here are estimates of the trend level (and uncertainty around the trend estimates) as well as a model-implied measure of the current real rate:  Here we illustrate the construction of non-linear impulse-responses from the actual rate (responses of macro variables can be found in the paper):  Part of an earlier version of this work was also featured in the Board’s Monetary Policy Report to the Congress released on Feb 10, 2016, see pages 32-33 of the report and a FEDS note. |
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