# EQUILIBRIUM INTEREST RATE AND THE YIELD CURVE IN A LOW INTEREST RATE ENVIRONMENT

@inproceedings{Ichiue2007EQUILIBRIUMIR, title={EQUILIBRIUM INTEREST RATE AND THE YIELD CURVE IN A LOW INTEREST RATE ENVIRONMENT}, author={Hibiki Ichiue and Yoichi Ueno}, year={2007} }

Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We overcome this challenge by using survey forecasts of interest rates and macroeconomic variables to estimate a two-factor yield curve model, which takes the bound of zero interest into account. We found that: 1) the equilibrium rate is roughly approximated with the… Expand

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