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Time-varying Nairu and Real Interest Rates in the Euro Area

Discussion Papers 351, 37 S.

Camille Logeay, Silke Tober

2003. Jun.

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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 seventies. 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 non-superneutrality of monetary policy.

JEL-Classification: C32;E32;E52
Keywords: Nairu, Monetary Policy, Kalman Filter, Phillips curve, Superneutrality
Frei zugängliche Version: (econstor)