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Time-Varying Nairu and Real Interest Rates in the Euro Area. ENEPRI Working Paper No. 24, October 2003

Logeay, Camille and Tober, Silke. (2003) Time-Varying Nairu and Real Interest Rates in the Euro Area. ENEPRI Working Paper No. 24, October 2003. [Working Paper]

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    Abstract

    This paper analyses the Nairu in the euro area and the influence that monetary policy had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early 1970s. The Kalman-filter technique is applied here for the first time using explicit exogenous variables. In particular, real interest rates were found to explain a quarter of the increase in the Nairu between 1980 and 1995. This indicates the possibility of a long-run nonsuperneutrality of monetary policy.

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    Item Type: Working Paper
    Uncontrolled Keywords: Nairu; Kalman Filter; Phillips curve; Superneutrality.
    Subjects for non-EU documents: EU policies and themes > EU institutions & developments > institutional development/policy > historical development of EC (pre-1986)
    EU policies and themes > Policies & related activities > economic and financial affairs > monetary policy
    EU policies and themes > Policies & related activities > economic and financial affairs > EMU/EMS/euro
    Subjects for EU documents: UNSPECIFIED
    EU Series and Periodicals: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > Centre for European Policy Studies (Brussels) > ENEPRI Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 19 Aug 2004
    Page Range: p. 30
    Last Modified: 15 Feb 2011 17:20
    URI: http://aei.pitt.edu/id/eprint/1844

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