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For example, estimates using the Laubach-Williams (2003) model indicate the natural rate in the United States fell to close to zero during the crisis and has remained there through the end of 2015. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis.
We find that large declines in trend GDP growth and natural rates of interest have occurred over the past 25 years in all four economies.
These country-by-country estimates are found to display a substantial amount of comovement over time, suggesting an important role for global factors in shaping trend growth and natural rates of interest.
Keywords: Kalman filter, monetary policy rules, natural rate of output, trend growth DOI: Abstract: The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values.
In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation.
While straightforward to implement, the practical performance is often poor.
We develop a self-tuning particle filter in which the proposal distribution is constructed adaptively through a sequence of Monte Carlo steps.Intuitively, we start from a measurement error distribution with an inflated variance, and then gradually reduce the variance to its nominal level in a sequence of steps that we call tempering.We show that the filter generates an unbiased and consistent approximation of the likelihood function.Holding the run time fixed, our filter is substantially more accurate in two DSGE model applications than the bootstrap particle filter.Keywords: Bayesian Analysis, DSGE Models, Monte Carlo Methods, Nonlinear Filtering DOI: Abstract: We study the links between monetary policy and mutual fund flows, and the potential risks to financial stability that might arise from such flows, using data over the 2000-14 period.We find that monetary policy can have a direct influence on the allocation decisions of mutual fund investors.Tags: Adult Dating, affair dating, sex dating