National natural rates of interest and the single monetary policy in the euro area

摘要

We estimate time-varying national natural real rates of interest (r) for the four largest economies of the euro area over 1999-2016. We further derive the associated national real interest rate gaps, which gauge the perceived monetary policy stance in each country. We find that the average r have been lower after 2008. Furthermore, national r were significantly negative in southern countries during the sovereign crisis. As their effective real rates soared, national rate gaps across the euro area diverged. However, a common policy stance has been restored since 2014 as the European Central Bank's unconventional programs gathered pace.