2018年-CEPS欧洲政策研究中心_Time_32页_1mb

Summary of "Time-Varying NAIRU and Real Interest Rates in the Euro Area"

Core Content

This working paper by Camille Logeay and Silke Tober analyzes the evolution of the Non-Accelerating Inflation Rate of Unemployment (NAIRU) in the euro area and investigates the influence of monetary policy, particularly through real interest rates, on this development. The paper applies the Kalman-filter technique to estimate the NAIRU and assess the impact of exogenous variables.

Main Points

• NAIRU Evolution: The NAIRU in the euro area has shown significant variation since the early 1970s. It rose from slightly below 3% in the mid-1970s to over 10% in the early 1990s, and has since declined to 8.4%.

• Methodology: The authors use a state-space model and the Kalman filter to estimate the NAIRU, incorporating explicit exogenous variables. This approach allows for the identification of unobservable variables (NAIRU and unemployment gap) based on observable data and economic relationships.

• Exogenous Variables Tested:

  • Real Interest Rates: Found to be the most significant factor, explaining a quarter of the NAIRU increase between 1980 and 1995. A 1 percentage point increase in real interest rates raises the NAIRU by 0.30 percentage points, with the full effect taking 15 quarters to materialize.
  • Productivity Slowdown: Also significant, but with a smaller effect. A 1 percentage point slowdown in productivity growth increases the NAIRU by 0.06 percentage points.
  • Tax Wedge: Initially significant, but becomes insignificant when real interest rates are included. A 1 percentage point increase in the tax wedge would raise the NAIRU by 0.17 percentage points.
  • Oil Price Shocks: Found to have a long-term effect on inflation, but their impact on the NAIRU is less direct.

• Monetary Policy and Hysteresis: The authors argue that a restrictive monetary policy stance, reflected in higher real interest rates, contributed to the rise in the NAIRU. This is attributed to hysteresis in the labor market, where prolonged periods of high unemployment can lead to lasting increases in the natural rate of unemployment.

• Superneutrality of Money: The paper rejects the long-run superneutrality of money, suggesting that monetary policy has persistent effects on real economic activity beyond the short term.

Key Findings

• Kalman Filter Results:

  • Real interest rates have a significant and lasting effect on the NAIRU.
  • Productivity slowdowns and tax wedges also have an impact, but to a lesser extent.
  • The inclusion of real interest rates as an exogenous variable improves the explanatory power of the model.

• Data and Methodology:

  • The data includes variables such as GDP, inflation, productivity, and oil prices, sourced from Eurostat and the ECB's Area Wide Model (AWM).
  • The model assumes that the unemployment gap is an AR(2) process and the NAIRU follows a local linear trend.
  • The paper uses the Okun's law coefficient to derive the output gap from the unemployment gap, showing that a 7.5 percentage point increase in the NAIRU from 1975 to 1994 led to a 7.5% decline in GDP growth.

• Implications:

  • The paper highlights the importance of monetary policy in shaping the NAIRU over time.
  • It suggests that institutional factors and macroeconomic shocks are key drivers of changes in the NAIRU, with monetary policy playing a particularly important role since the 1980s.

Conclusion

The study concludes that the rise in the NAIRU in the euro area since the mid-1970s is not solely due to institutional changes or productivity slowdowns but is significantly influenced by monetary policy, especially through real interest rates. The rejection of superneutrality indicates that monetary policy has long-term effects on the labor market and real economic activity, challenging the traditional view of monetary neutrality.