Convenience Yield as a Driver of r*
The natural rate of interest, or r*, corresponds to the short-term real interest rate that is consistent with full employment and price stability, after all temporary shocks have abated. The most popular framework to estimate r* is Laubach and Williams (2003) and Holston, Laubach, and Williams (2017, 2023) (henceforth HLW).
Authors
- Inês Xavier
- Bálint Szőke (ORCID: https://orcid.org/0009-0007-4876-9643)
- Francisco Vazquez‐Grande (ORCID: https://orcid.org/0000-0001-8368-4118)
Institutions
- Federal Reserve (US)
- Federal Reserve Board of Governors (US)
Publication Details
- Journal
- FEDS Notes
- Published
- 2024-09-01
- DOI
- https://doi.org/10.17016/2380-7172.3575
- Primary Topic
- Forecasting Techniques and Applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00