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(Un)naturally Low?

其他書名	Sequential Monte Carlo Tracking of the US Natural Interest Rate
出版	European Central Bank, 2007
URL	http://books.google.com.hk/books?id=0lMXOwAACAAJ&hl=&source=gbs_api

註釋Following the 2000 stockmarket crash, have US interest rates been held "too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts a real-time evaluation of the US monetary policy stance while ensuring consistency between the specification of price adjustments and the evolution of the economy under flexible prices. To do this, the model's likelihood function is evaluated using a Sequential Monte Carlo algorithm providing inference about the time-varying distribution of structural parameters and unobservable, nonstationary state variables. Tracking down the evolution of underlying stochastic processes in real time is found crucial (i) to explain postwar Fed's policy and (ii) to replicate salient features of the data.