Accessible Version
An Estimate of the Long-Term Neutral Rate of Interest Accessible Data
Figure 1: Estimate of the short-run, long-term neutral rate of interest
2017Q2
| Period | Real Ten-Year Treasury Yield | Short-Run Neutral Rate |
|---|---|---|
| 1990Q1 | 4.867786 | 4.727553 |
| 1990Q2 | 4.894437 | 4.191621 |
| 1990Q3 | 4.802803 | 3.436379 |
| 1990Q4 | 4.587920 | 2.727933 |
| 1991Q1 | 4.247104 | 2.159788 |
| 1991Q2 | 4.343963 | 2.993840 |
| 1991Q3 | 4.421560 | 2.923790 |
| 1991Q4 | 3.937817 | 2.124701 |
| 1992Q1 | 4.228283 | 3.159174 |
| 1992Q2 | 4.048562 | 2.930370 |
| 1992Q3 | 3.571729 | 2.212242 |
| 1992Q4 | 3.805035 | 3.071648 |
| 1993Q1 | 3.430641 | 1.716675 |
| 1993Q2 | 2.913549 | 2.178344 |
| 1993Q3 | 2.742892 | 1.600860 |
| 1993Q4 | 2.728300 | 2.784034 |
| 1994Q1 | 3.185513 | 2.751267 |
| 1994Q2 | 4.090992 | 4.491468 |
| 1994Q3 | 4.316452 | 4.135367 |
| 1994Q4 | 4.796851 | 5.005260 |
| 1995Q1 | 4.671749 | 4.091004 |
| 1995Q2 | 3.749469 | 3.018835 |
| 1995Q3 | 3.652551 | 3.818430 |
| 1995Q4 | 3.401209 | 3.384412 |
| 1996Q1 | 3.434212 | 3.471063 |
| 1996Q2 | 4.225228 | 4.672273 |
| 1996Q3 | 4.228449 | 4.637927 |
| 1996Q4 | 3.820202 | 4.397469 |
| 1997Q1 | 4.033498 | 4.445545 |
| 1997Q2 | 4.338396 | 4.934921 |
| 1997Q3 | 3.762967 | 4.541400 |
| 1997Q4 | 3.777861 | 4.382769 |
| 1998Q1 | 3.536409 | 4.203235 |
| 1998Q2 | 3.659236 | 4.465798 |
| 1998Q3 | 3.268646 | 4.079219 |
| 1998Q4 | 2.845752 | 4.092052 |
| 1999Q1 | 3.453873 | 4.441214 |
| 1999Q2 | 3.743707 | 4.590000 |
| 1999Q3 | 4.136318 | 5.195446 |
| 1999Q4 | 4.374795 | 5.819969 |
| 2000Q1 | 4.570422 | 5.824703 |
| 2000Q2 | 4.328826 | 5.320641 |
| 2000Q3 | 4.015368 | 4.815955 |
| 2000Q4 | 3.671675 | 3.934567 |
| 2001Q1 | 3.200616 | 3.630745 |
| 2001Q2 | 3.403141 | 3.072854 |
| 2001Q3 | 3.156980 | 2.196824 |
| 2001Q4 | 2.910168 | 1.986788 |
| 2002Q1 | 3.288280 | 3.317306 |
| 2002Q2 | 3.254969 | 3.185170 |
| 2002Q3 | 2.445092 | 2.149758 |
| 2002Q4 | 2.243955 | 1.864305 |
| 2003Q1 | 2.059475 | 1.184711 |
| 2003Q2 | 1.704543 | 1.471977 |
| 2003Q3 | 2.303814 | 2.773246 |
| 2003Q4 | 2.335445 | 2.631972 |
| 2004Q1 | 2.043326 | 2.239518 |
| 2004Q2 | 2.649977 | 2.885977 |
| 2004Q3 | 2.345861 | 2.833806 |
| 2004Q4 | 2.201600 | 2.334938 |
| 2005Q1 | 2.341728 | 2.739494 |
| 2005Q2 | 2.135830 | 2.563002 |
| 2005Q3 | 2.189392 | 2.597441 |
| 2005Q4 | 2.495725 | 3.342260 |
| 2006Q1 | 2.569545 | 4.027657 |
| 2006Q2 | 3.050624 | 3.598063 |
| 2006Q3 | 2.862649 | 3.500218 |
| 2006Q4 | 2.599268 | 3.571821 |
| 2007Q1 | 2.756282 | 3.152783 |
| 2007Q2 | 2.919888 | 3.502132 |
| 2007Q3 | 2.741990 | 2.726095 |
| 2007Q4 | 2.309248 | 2.095241 |
| 2008Q1 | 1.667428 | 0.841306 |
| 2008Q2 | 1.890844 | 0.893056 |
| 2008Q3 | 1.850319 | -0.205870 |
| 2008Q4 | 1.522935 | -2.408900 |
| 2009Q1 | 1.029115 | -3.093560 |
| 2009Q2 | 1.380376 | -1.923040 |
| 2009Q3 | 1.661927 | -0.985740 |
| 2009Q4 | 1.585285 | -0.228500 |
| 2010Q1 | 1.765567 | -0.429010 |
| 2010Q2 | 1.467287 | -0.124480 |
| 2010Q3 | 0.797102 | -0.252990 |
| 2010Q4 | 0.966173 | -0.453530 |
| 2011Q1 | 1.428548 | -0.469580 |
| 2011Q2 | 1.006287 | -0.429370 |
| 2011Q3 | 0.233641 | -1.114190 |
| 2011Q4 | -0.056070 | -0.805010 |
| 2012Q1 | -0.086850 | -0.443340 |
| 2012Q2 | -0.373950 | -1.441500 |
| 2012Q3 | -0.560570 | -1.730210 |
| 2012Q4 | -0.410770 | -1.160260 |
| 2013Q1 | -0.054330 | -0.903250 |
| 2013Q2 | -0.014260 | -0.650540 |
| 2013Q3 | 0.747895 | 0.290248 |
| 2013Q4 | 0.785850 | 0.610440 |
| 2014Q1 | 0.803400 | 0.031173 |
| 2014Q2 | 0.651822 | 0.897047 |
| 2014Q3 | 0.534931 | 0.992675 |
| 2014Q4 | 0.318385 | 0.803113 |
| 2015Q1 | 0.020880 | 0.136959 |
| 2015Q2 | 0.240830 | 0.445865 |
| 2015Q3 | 0.260973 | 0.210485 |
| 2015Q4 | 0.342981 | 0.479383 |
| 2016Q1 | 0.001828 | -0.129810 |
| 2016Q2 | -0.213730 | -0.242450 |
| 2016Q3 | -0.407920 | -0.022350 |
| 2016Q4 | 0.186693 | 0.080540 |
| 2017Q1 | 0.389750 | 0.648997 |
| 0.203263 | 0.665804 | |
| 2017Q3 | 0.263881 | 0.710622 |
| 2017Q4 | 0.385023 | 0.878995 |
Note: Shading represents NBER recessions: July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009.
Source: Author's calculation.
Figure 2: The neutral rate of interest with alternative output gaps
| Period | Real Ten-Year Treasury Yield | Baseline Estimate | Estimate Using CBO Output Gap |
|---|---|---|---|
| 1990Q1 | 4.867786 | 4.727553 | 5.148436 |
| 1990Q2 | 4.894437 | 4.191621 | 4.381613 |
| 1990Q3 | 4.802803 | 3.436379 | 3.718023 |
| 1990Q4 | 4.587920 | 2.727933 | 2.125611 |
| 1991Q1 | 4.247104 | 2.159788 | 1.814783 |
| 1991Q2 | 4.343963 | 2.993840 | 3.220620 |
| 1991Q3 | 4.421560 | 2.923790 | 2.965332 |
| 1991Q4 | 3.937817 | 2.124701 | 2.384593 |
| 1992Q1 | 4.228283 | 3.159174 | 3.603159 |
| 1992Q2 | 4.048562 | 2.930370 | 3.510461 |
| 1992Q3 | 3.571729 | 2.212242 | 3.021697 |
| 1992Q4 | 3.805035 | 3.071648 | 3.406125 |
| 1993Q1 | 3.430641 | 1.716675 | 2.061202 |
| 1993Q2 | 2.913549 | 2.178344 | 1.927066 |
| 1993Q3 | 2.742892 | 1.600860 | 1.588298 |
| 1993Q4 | 2.728300 | 2.784034 | 2.631756 |
| 1994Q1 | 3.185513 | 2.751267 | 2.834288 |
| 1994Q2 | 4.090992 | 4.491468 | 4.349891 |
| 1994Q3 | 4.316452 | 4.135367 | 3.771672 |
| 1994Q4 | 4.796851 | 5.005260 | 4.938695 |
| 1995Q1 | 4.671749 | 4.091004 | 3.907015 |
| 1995Q2 | 3.749469 | 3.018835 | 2.888811 |
| 1995Q3 | 3.652551 | 3.818430 | 3.335874 |
| 1995Q4 | 3.401209 | 3.384412 | 2.922287 |
| 1996Q1 | 3.434212 | 3.471063 | 2.848699 |
| 1996Q2 | 4.225228 | 4.672273 | 5.012259 |
| 1996Q3 | 4.228449 | 4.637927 | 4.217390 |
| 1996Q4 | 3.820202 | 4.397469 | 3.979455 |
| 1997Q1 | 4.033498 | 4.445545 | 3.816280 |
| 1997Q2 | 4.338396 | 4.934921 | 5.007829 |
| 1997Q3 | 3.762967 | 4.541400 | 4.276616 |
| 1997Q4 | 3.777861 | 4.382769 | 3.706244 |
| 1998Q1 | 3.536409 | 4.203235 | 3.652352 |
| 1998Q2 | 3.659236 | 4.465798 | 3.721667 |
| 1998Q3 | 3.268646 | 4.079219 | 3.742380 |
| 1998Q4 | 2.845752 | 4.092052 | 3.837106 |
| 1999Q1 | 3.453873 | 4.441214 | 3.534007 |
| 1999Q2 | 3.743707 | 4.590000 | 3.755965 |
| 1999Q3 | 4.136318 | 5.195446 | 4.646729 |
| 1999Q4 | 4.374795 | 5.819969 | 5.588292 |
| 2000Q1 | 4.570422 | 5.824703 | 4.122618 |
| 2000Q2 | 4.328826 | 5.320641 | 5.756618 |
| 2000Q3 | 4.015368 | 4.815955 | 3.429179 |
| 2000Q4 | 3.671675 | 3.934567 | 3.436554 |
| 2001Q1 | 3.200616 | 3.630745 | 1.776225 |
| 2001Q2 | 3.403141 | 3.072854 | 2.745803 |
| 2001Q3 | 3.156980 | 2.196824 | 1.324887 |
| 2001Q4 | 2.910168 | 1.986788 | 1.550465 |
| 2002Q1 | 3.288280 | 3.317306 | 2.681771 |
| 2002Q2 | 3.254969 | 3.185170 | 2.273717 |
| 2002Q3 | 2.445092 | 2.149758 | 1.365984 |
| 2002Q4 | 2.243955 | 1.864305 | 0.569118 |
| 2003Q1 | 2.059475 | 1.184711 | 0.792755 |
| 2003Q2 | 1.704543 | 1.471977 | 0.954217 |
| 2003Q3 | 2.303814 | 2.773246 | 2.642628 |
| 2003Q4 | 2.335445 | 2.631972 | 2.358601 |
| 2004Q1 | 2.043326 | 2.239518 | 1.456982 |
| 2004Q2 | 2.649977 | 2.885977 | 2.237959 |
| 2004Q3 | 2.345861 | 2.833806 | 2.200753 |
| 2004Q4 | 2.201600 | 2.334938 | 2.098412 |
| 2005Q1 | 2.341728 | 2.739494 | 2.592515 |
| 2005Q2 | 2.135830 | 2.563002 | 1.844405 |
| 2005Q3 | 2.189392 | 2.597441 | 2.318814 |
| 2005Q4 | 2.495725 | 3.342260 | 2.382353 |
| 2006Q1 | 2.569545 | 4.027657 | 3.341710 |
| 2006Q2 | 3.050624 | 3.598063 | 2.886423 |
| 2006Q3 | 2.862649 | 3.500218 | 2.375437 |
| 2006Q4 | 2.599268 | 3.571821 | 2.917117 |
| 2007Q1 | 2.756282 | 3.152783 | 2.220793 |
| 2007Q2 | 2.919888 | 3.502132 | 3.176409 |
| 2007Q3 | 2.741990 | 2.726095 | 2.980926 |
| 2007Q4 | 2.309248 | 2.095241 | 2.206391 |
| 2008Q1 | 1.667428 | 0.841306 | 0.147177 |
| 2008Q2 | 1.890844 | 0.893056 | 1.568284 |
| 2008Q3 | 1.850319 | -0.205870 | 0.266760 |
| 2008Q4 | 1.522935 | -2.408900 | -2.539080 |
| 2009Q1 | 1.029115 | -3.093560 | -2.840150 |
| 2009Q2 | 1.380376 | -1.923040 | -1.322390 |
| 2009Q3 | 1.661927 | -0.985740 | -0.537630 |
| 2009Q4 | 1.585285 | -0.228500 | 0.278606 |
| 2010Q1 | 1.765567 | -0.429010 | 0.016625 |
| 2010Q2 | 1.467287 | -0.124480 | 0.495738 |
| 2010Q3 | 0.797102 | -0.252990 | -0.316730 |
| 2010Q4 | 0.966173 | -0.453530 | -0.069170 |
| 2011Q1 | 1.428548 | -0.469580 | -0.877760 |
| 2011Q2 | 1.006287 | -0.429370 | -0.052510 |
| 2011Q3 | 0.233641 | -1.114190 | -1.380280 |
| 2011Q4 | -0.056070 | -0.805010 | -0.502750 |
| 2012Q1 | -0.086850 | -0.443340 | -0.884940 |
| 2012Q2 | -0.373950 | -1.441500 | -1.341060 |
| 2012Q3 | -0.560570 | -1.730210 | -1.959790 |
| 2012Q4 | -0.410770 | -1.160260 | -2.027340 |
| 2013Q1 | -0.054330 | -0.903250 | -0.896990 |
| 2013Q2 | -0.014260 | -0.650540 | -1.425640 |
| 2013Q3 | 0.747895 | 0.290248 | 0.039657 |
| 2013Q4 | 0.785850 | 0.610440 | 0.471204 |
| 2014Q1 | 0.803400 | 0.031173 | -0.915860 |
| 2014Q2 | 0.651822 | 0.897047 | 0.528316 |
| 2014Q3 | 0.534931 | 0.992675 | 0.841925 |
| 2014Q4 | 0.318385 | 0.803113 | -0.119880 |
| 2015Q1 | 0.020880 | 0.136959 | -0.002020 |
| 2015Q2 | 0.240830 | 0.445865 | 0.166241 |
| 2015Q3 | 0.260973 | 0.210485 | -0.097230 |
| 2015Q4 | 0.342981 | 0.479383 | -0.401900 |
| 2016Q1 | 0.001828 | -0.129810 | -0.808950 |
| 2016Q2 | -0.213730 | -0.242450 | -0.548020 |
| 2016Q3 | -0.407920 | -0.022350 | -0.513180 |
| 2016Q4 | 0.186693 | 0.080540 | -0.157110 |
| 2017Q1 | 0.389750 | 0.648997 | -0.108820 |
| 2017Q2 | 0.203263 | 0.665804 | 0.252865 |
| 2017Q3 | 0.263881 | 0.710622 | 0.442339 |
| 2017Q4 | 0.385023 | 0.878995 | 0.575428 |
Note: Shading represents NBER recessions: July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009.
Source: Author's calculation.
Figure 3: Alternative assumptions about interest sensitivity
< !-- RESUME HERE --!>
| Period | Real Ten-Year Treasury Yield | Baseline Parameters | Greater Interest Sensitivity |
|---|---|---|---|
| 1990Q1 | 4.867786 | 4.727553 | 4.837736 |
| 1990Q2 | 4.894437 | 4.191621 | 4.743834 |
| 1990Q3 | 4.802803 | 3.436379 | 4.509998 |
| 1990Q4 | 4.587920 | 2.727933 | 4.189351 |
| 1991Q1 | 4.247104 | 2.159788 | 3.799822 |
| 1991Q2 | 4.343963 | 2.993840 | 4.054651 |
| 1991Q3 | 4.421560 | 2.923790 | 4.100609 |
| 1991Q4 | 3.937817 | 2.124701 | 3.549292 |
| 1992Q1 | 4.228283 | 3.159174 | 3.999188 |
| 1992Q2 | 4.048562 | 2.930370 | 3.808949 |
| 1992Q3 | 3.571729 | 2.212242 | 3.280410 |
| 1992Q4 | 3.805035 | 3.071648 | 3.647881 |
| 1993Q1 | 3.430641 | 1.716675 | 3.063363 |
| 1993Q2 | 2.913549 | 2.178344 | 2.756005 |
| 1993Q3 | 2.742892 | 1.600860 | 2.498171 |
| 1993Q4 | 2.728300 | 2.784034 | 2.740243 |
| 1994Q1 | 3.185513 | 2.751267 | 3.092461 |
| 1994Q2 | 4.090992 | 4.491468 | 4.176808 |
| 1994Q3 | 4.316452 | 4.135367 | 4.277648 |
| 1994Q4 | 4.796851 | 5.005260 | 4.841510 |
| 1995Q1 | 4.671749 | 4.091004 | 4.547303 |
| 1995Q2 | 3.749469 | 3.018835 | 3.592904 |
| 1995Q3 | 3.652551 | 3.818430 | 3.688097 |
| 1995Q4 | 3.401209 | 3.384412 | 3.397610 |
| 1996Q1 | 3.434212 | 3.471063 | 3.442109 |
| 1996Q2 | 4.225228 | 4.672273 | 4.321024 |
| 1996Q3 | 4.228449 | 4.637927 | 4.316195 |
| 1996Q4 | 3.820202 | 4.397469 | 3.943902 |
| 1997Q1 | 4.033498 | 4.445545 | 4.121794 |
| 1997Q2 | 4.338396 | 4.934921 | 4.466223 |
| 1997Q3 | 3.762967 | 4.541400 | 3.929774 |
| 1997Q4 | 3.777861 | 4.382769 | 3.907484 |
| 1998Q1 | 3.536409 | 4.203235 | 3.679300 |
| 1998Q2 | 3.659236 | 4.465798 | 3.832071 |
| 1998Q3 | 3.268646 | 4.079219 | 3.442341 |
| 1998Q4 | 2.845752 | 4.092052 | 3.112816 |
| 1999Q1 | 3.453873 | 4.441214 | 3.665446 |
| 1999Q2 | 3.743707 | 4.590000 | 3.925056 |
| 1999Q3 | 4.136318 | 5.195446 | 4.363274 |
| 1999Q4 | 4.374795 | 5.819969 | 4.684475 |
| 2000Q1 | 4.570422 | 5.824703 | 4.839197 |
| 2000Q2 | 4.328826 | 5.320641 | 4.541358 |
| 2000Q3 | 4.015368 | 4.815955 | 4.186922 |
| 2000Q4 | 3.671675 | 3.934567 | 3.728009 |
| 2001Q1 | 3.200616 | 3.630745 | 3.292787 |
| 2001Q2 | 3.403141 | 3.072854 | 3.332365 |
| 2001Q3 | 3.156980 | 2.196824 | 2.951232 |
| 2001Q4 | 2.910168 | 1.986788 | 2.712301 |
| 2002Q1 | 3.288280 | 3.317306 | 3.294500 |
| 2002Q2 | 3.254969 | 3.185170 | 3.240012 |
| 2002Q3 | 2.445092 | 2.149758 | 2.381806 |
| 2002Q4 | 2.243955 | 1.864305 | 2.162601 |
| 2003Q1 | 2.059475 | 1.184711 | 1.872026 |
| 2003Q2 | 1.704543 | 1.471977 | 1.654707 |
| 2003Q3 | 2.303814 | 2.773246 | 2.404407 |
| 2003Q4 | 2.335445 | 2.631972 | 2.398987 |
| 2004Q1 | 2.043326 | 2.239518 | 2.085367 |
| 2004Q2 | 2.649977 | 2.885977 | 2.700549 |
| 2004Q3 | 2.345861 | 2.833806 | 2.450421 |
| 2004Q4 | 2.201600 | 2.334938 | 2.230172 |
| 2005Q1 | 2.341728 | 2.739494 | 2.426963 |
| 2005Q2 | 2.135830 | 2.563002 | 2.227367 |
| 2005Q3 | 2.189392 | 2.597441 | 2.276831 |
| 2005Q4 | 2.495725 | 3.342260 | 2.677125 |
| 2006Q1 | 2.569545 | 4.027657 | 2.881998 |
| 2006Q2 | 3.050624 | 3.598063 | 3.167932 |
| 2006Q3 | 2.862649 | 3.500218 | 2.999271 |
| 2006Q4 | 2.599268 | 3.571821 | 2.807672 |
| 2007Q1 | 2.756282 | 3.152783 | 2.841247 |
| 2007Q2 | 2.919888 | 3.502132 | 3.044654 |
| 2007Q3 | 2.741990 | 2.726095 | 2.738584 |
| 2007Q4 | 2.309248 | 2.095241 | 2.263390 |
| 2008Q1 | 1.667428 | 0.841306 | 1.490402 |
| 2008Q2 | 1.890844 | 0.893056 | 1.677032 |
| 2008Q3 | 1.850319 | -0.205870 | 1.409708 |
| 2008Q4 | 1.522935 | -2.408900 | 0.680399 |
| 2009Q1 | 1.029115 | -3.093560 | 0.145685 |
| 2009Q2 | 1.380376 | -1.923040 | 0.672501 |
| 2009Q3 | 1.661927 | -0.985740 | 1.094570 |
| 2009Q4 | 1.585285 | -0.228500 | 1.196617 |
| 2010Q1 | 1.765567 | -0.429010 | 1.295300 |
| 2010Q2 | 1.467287 | -0.124480 | 1.126194 |
| 2010Q3 | 0.797102 | -0.252990 | 0.572083 |
| 2010Q4 | 0.966173 | -0.453530 | 0.661951 |
| 2011Q1 | 1.428548 | -0.469580 | 1.021807 |
| 2011Q2 | 1.006287 | -0.429370 | 0.698646 |
| 2011Q3 | 0.233641 | -1.114190 | -0.055180 |
| 2011Q4 | -0.056070 | -0.805010 | -0.216550 |
| 2012Q1 | -0.086850 | -0.443340 | -0.163240 |
| 2012Q2 | -0.373950 | -1.441500 | -0.602710 |
| 2012Q3 | -0.560570 | -1.730210 | -0.811210 |
| 2012Q4 | -0.410770 | -1.160260 | -0.571370 |
| 2013Q1 | -0.054330 | -0.903250 | -0.236240 |
| 2013Q2 | -0.014260 | -0.650540 | -0.150610 |
| 2013Q3 | 0.747895 | 0.290248 | 0.649828 |
| 2013Q4 | 0.785850 | 0.610440 | 0.748262 |
| 2014Q1 | 0.803400 | 0.031173 | 0.637923 |
| 2014Q2 | 0.651822 | 0.897047 | 0.704370 |
| 2014Q3 | 0.534931 | 0.992675 | 0.633019 |
| 2014Q4 | 0.318385 | 0.803113 | 0.422256 |
| 2015Q1 | 0.020880 | 0.136959 | 0.045754 |
| 2015Q2 | 0.240830 | 0.445865 | 0.284766 |
| 2015Q3 | 0.260973 | 0.210485 | 0.250155 |
| 2015Q4 | 0.342981 | 0.479383 | 0.372210 |
| 2016Q1 | 0.001828 | -0.129810 | -0.026380 |
| 2016Q2 | -0.213730 | -0.242450 | -0.219890 |
| 2016Q3 | -0.407920 | -0.022350 | -0.325300 |
| 2016Q4 | 0.186693 | 0.080540 | 0.163946 |
| 2017Q1 | 0.389750 | 0.648997 | 0.445303 |
| 2017Q2 | 0.203263 | 0.665804 | 0.302379 |
| 2017Q3 | 0.263881 | 0.710622 | 0.359611 |
| 2017Q4 | 0.385023 | 0.878995 | 0.490874 |
Note: Shading represents NBER recessions: July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009.
Source: Author's calculation.
Figure 4: Smoothing the neutral rate estimate
| Period | Real Ten-Year Treasury Yield | Short-Run Neutral Rate | Short-Run Neutral Rate, Four-Quarter Moving Average |
|---|---|---|---|
| 2007Q1 | 2.756282 | 3.152783 | 3.455721 |
| 2007Q2 | 2.919888 | 3.502132 | 3.431738 |
| 2007Q3 | 2.741990 | 2.726095 | 3.238208 |
| 2007Q4 | 2.309248 | 2.095241 | 2.869063 |
| 2008Q1 | 1.667428 | 0.841306 | 2.291193 |
| 2008Q2 | 1.890844 | 0.893056 | 1.638924 |
| 2008Q3 | 1.850319 | -0.205870 | 0.905934 |
| 2008Q4 | 1.522935 | -2.408900 | -0.220100 |
| 2009Q1 | 1.029115 | -3.093560 | -1.203820 |
| 2009Q2 | 1.380376 | -1.923040 | -1.907840 |
| 2009Q3 | 1.661927 | -0.985740 | -2.102810 |
| 2009Q4 | 1.585285 | -0.228500 | -1.557710 |
| 2010Q1 | 1.765567 | -0.429010 | -0.891570 |
| 2010Q2 | 1.467287 | -0.124480 | -0.441930 |
| 2010Q3 | 0.797102 | -0.252990 | -0.258750 |
| 2010Q4 | 0.966173 | -0.453530 | -0.315000 |
| 2011Q1 | 1.428548 | -0.469580 | -0.325140 |
| 2011Q2 | 1.006287 | -0.429370 | -0.401370 |
| 2011Q3 | 0.233641 | -1.114190 | -0.616670 |
| 2011Q4 | -0.056070 | -0.805010 | -0.704540 |
| 2012Q1 | -0.086850 | -0.443340 | -0.697980 |
| 2012Q2 | -0.373950 | -1.441500 | -0.951010 |
| 2012Q3 | -0.560570 | -1.730210 | -1.105010 |
| 2012Q4 | -0.410770 | -1.160260 | -1.193830 |
| 2013Q1 | -0.054330 | -0.903250 | -1.308810 |
| 2013Q2 | -0.014260 | -0.650540 | -1.111070 |
| 2013Q3 | 0.747895 | 0.290248 | -0.605950 |
| 2013Q4 | 0.785850 | 0.610440 | -0.163280 |
| 2014Q1 | 0.803400 | 0.031173 | 0.070331 |
| 2014Q2 | 0.651822 | 0.897047 | 0.457227 |
| 2014Q3 | 0.534931 | 0.992675 | 0.632834 |
| 2014Q4 | 0.318385 | 0.803113 | 0.681002 |
| 2015Q1 | 0.020880 | 0.136959 | 0.707448 |
| 2015Q2 | 0.240830 | 0.445865 | 0.594653 |
| 2015Q3 | 0.260973 | 0.210485 | 0.399106 |
| 2015Q4 | 0.342981 | 0.479383 | 0.318173 |
| 2016Q1 | 0.001828 | -0.12981 | 0.251481 |
| 2016Q2 | -0.21373 | -0.24245 | 0.079403 |
| 2016Q3 | -0.40792 | -0.02235 | 0.021194 |
| 2016Q4 | 0.186693 | 0.08054 | -0.07852 |
| 2017Q1 | 0.38975 | 0.648997 | 0.116184 |
| 2017Q2 | 0.203263 | 0.665804 | 0.343247 |
| 2017Q3 | 0.263881 | 0.710622 | 0.526491 |
| 2017Q4 | 0.385023 | 0.878995 | 0.726104 |
Source: Author's calculation.
Figure 5: Model estimate of long-run neutral rate
| Period | Baseline Neutral Rate | Long-Run Estimate |
|---|---|---|
| 1970Q1 | 4.425074 | 3.780084 |
| 1970Q2 | 4.562757 | 3.778046 |
| 1970Q3 | 4.364858 | 3.763588 |
| 1970Q4 | 2.090338 | 3.678122 |
| 1971Q1 | 3.694882 | 3.725935 |
| 1971Q2 | 3.224501 | 3.703667 |
| 1971Q3 | 3.251854 | 3.698881 |
| 1971Q4 | 2.977665 | 3.684518 |
| 1972Q1 | 3.889373 | 3.711205 |
| 1972Q2 | 3.932234 | 3.708285 |
| 1972Q3 | 3.838041 | 3.700424 |
| 1972Q4 | 4.259264 | 3.709793 |
| 1973Q1 | 5.105147 | 3.732758 |
| 1973Q2 | 4.371565 | 3.700456 |
| 1973Q3 | 4.175293 | 3.685389 |
| 1973Q4 | 4.157298 | 3.675673 |
| 1974Q1 | 2.460122 | 3.608547 |
| 1974Q2 | 2.729364 | 3.609456 |
| 1974Q3 | 1.834035 | 3.572218 |
| 1974Q4 | -0.034280 | 3.504489 |
| 1975Q1 | -1.265870 | 3.463147 |
| 1975Q2 | 1.540602 | 3.564778 |
| 1975Q3 | 3.259740 | 3.632446 |
| 1975Q4 | 3.027138 | 3.634667 |
| 1976Q1 | 3.756582 | 3.670237 |
| 1976Q2 | 2.939829 | 3.653433 |
| 1976Q3 | 2.674883 | 3.656260 |
| 1976Q4 | 2.257935 | 3.655300 |
| 1977Q1 | 3.389092 | 3.708581 |
| 1977Q2 | 4.301384 | 3.754904 |
| 1977Q3 | 3.519907 | 3.743235 |
| 1977Q4 | 3.140143 | 3.745448 |
| 1978Q1 | 3.011679 | 3.756987 |
| 1978Q2 | 5.407148 | 3.854849 |
| 1978Q3 | 3.819941 | 3.815979 |
| 1978Q4 | 4.091984 | 3.839938 |
| 1979Q1 | 3.839842 | 3.845835 |
| 1979Q2 | 3.244608 | 3.840145 |
| 1979Q3 | 2.849524 | 3.842039 |
| 1979Q4 | 3.879705 | 3.893465 |
| 1980Q1 | 4.492514 | 3.930805 |
| 1980Q2 | 1.157038 | 3.833939 |
| 1980Q3 | 3.503024 | 3.932762 |
| 1980Q4 | 6.592306 | 4.057297 |
| 1981Q1 | 5.649373 | 4.042073 |
| 1981Q2 | 5.332481 | 4.045796 |
| 1981Q3 | 7.152947 | 4.119983 |
| 1981Q4 | 4.423631 | 4.036234 |
| 1982Q1 | 4.569464 | 4.049120 |
| 1982Q2 | 5.718785 | 4.095204 |
| 1982Q3 | 4.055727 | 4.044008 |
| 1982Q4 | 2.180669 | 3.985632 |
| 1983Q1 | 3.758863 | 4.046443 |
| 1983Q2 | 4.399855 | 4.075976 |
| 1983Q3 | 5.716417 | 4.127895 |
| 1983Q4 | 5.999749 | 4.142711 |
| 1984Q1 | 6.788911 | 4.172066 |
| 1984Q2 | 7.587645 | 4.198146 |
| 1984Q3 | 6.815574 | 4.166476 |
| 1984Q4 | 6.100294 | 4.133082 |
| 1985Q1 | 6.510647 | 4.135022 |
| 1985Q2 | 5.543322 | 4.087136 |
| 1985Q3 | 5.129836 | 4.055964 |
| 1985Q4 | 4.375930 | 4.011809 |
| 1986Q1 | 3.673482 | 3.968893 |
| 1986Q2 | 2.448466 | 3.908723 |
| 1986Q3 | 2.897945 | 3.907152 |
| 1986Q4 | 2.743462 | 3.886558 |
| 1987Q1 | 2.666094 | 3.870143 |
| 1987Q2 | 3.968261 | 3.902006 |
| 1987Q3 | 3.882291 | 3.886865 |
| 1987Q4 | 4.832867 | 3.906761 |
| 1988Q1 | 3.671012 | 3.853993 |
| 1988Q2 | 4.958187 | 3.884242 |
| 1988Q3 | 4.623935 | 3.858217 |
| 1988Q4 | 5.224441 | 3.862729 |
| 1989Q1 | 5.318981 | 3.848269 |
| 1989Q2 | 4.173516 | 3.789879 |
| 1989Q3 | 3.954759 | 3.762280 |
| 1989Q4 | 3.620441 | 3.730511 |
| 1990Q1 | 4.727553 | 3.747607 |
| 1990Q2 | 4.191621 | 3.707827 |
| 1990Q3 | 3.436379 | 3.659970 |
| 1990Q4 | 2.727933 | 3.614002 |
| 1991Q1 | 2.159788 | 3.573995 |
| 1991Q2 | 2.993840 | 3.583321 |
| 1991Q3 | 2.923790 | 3.562903 |
| 1991Q4 | 2.124701 | 3.518727 |
| 1992Q1 | 3.159174 | 3.538434 |
| 1992Q2 | 2.930370 | 3.515969 |
| 1992Q3 | 2.212242 | 3.477774 |
| 1992Q4 | 3.071648 | 3.494633 |
| 1993Q1 | 1.716675 | 3.437237 |
| 1993Q2 | 2.178344 | 3.443603 |
| 1993Q3 | 1.600860 | 3.416590 |
| 1993Q4 | 2.784034 | 3.451578 |
| 1994Q1 | 2.751267 | 3.446391 |
| 1994Q2 | 4.491468 | 3.502078 |
| 1994Q3 | 4.135367 | 3.485558 |
| 1994Q4 | 5.005260 | 3.509578 |
| 1995Q1 | 4.091004 | 3.471244 |
| 1995Q2 | 3.018835 | 3.426721 |
| 1995Q3 | 3.818430 | 3.446016 |
| 1995Q4 | 3.384412 | 3.423108 |
| 1996Q1 | 3.471063 | 3.417849 |
| 1996Q2 | 4.672273 | 3.450185 |
| 1996Q3 | 4.637927 | 3.439083 |
| 1996Q4 | 4.397469 | 3.419366 |
| 1997Q1 | 4.445545 | 3.408056 |
| 1997Q2 | 4.934921 | 3.410231 |
| 1997Q3 | 4.541400 | 3.380472 |
| 1997Q4 | 4.382769 | 3.357053 |
| 1998Q1 | 4.203235 | 3.331518 |
| 1998Q2 | 4.465798 | 3.319724 |
| 1998Q3 | 4.079219 | 3.284415 |
| 1998Q4 | 4.092052 | 3.261511 |
| 1999Q1 | 4.441214 | 3.248832 |
| 1999Q2 | 4.590000 | 3.227740 |
| 1999Q3 | 5.195446 | 3.220207 |
| 1999Q4 | 5.819969 | 3.210602 |
| 2000Q1 | 5.824703 | 3.176461 |
| 2000Q2 | 5.320641 | 3.121483 |
| 2000Q3 | 4.815955 | 3.063458 |
| 2000Q4 | 3.934567 | 2.990291 |
| 2001Q1 | 3.630745 | 2.935345 |
| 2001Q2 | 3.072854 | 2.870856 |
| 2001Q3 | 2.196824 | 2.795337 |
| 2001Q4 | 1.986788 | 2.743149 |
| 2002Q1 | 3.317306 | 2.744065 |
| 2002Q2 | 3.185170 | 2.694762 |
| 2002Q3 | 2.149758 | 2.614257 |
| 2002Q4 | 1.864305 | 2.559736 |
| 2003Q1 | 1.184711 | 2.492852 |
| 2003Q2 | 1.471977 | 2.460443 |
| 2003Q3 | 2.773246 | 2.463663 |
| 2003Q4 | 2.631972 | 2.417705 |
| 2004Q1 | 2.239518 | 2.362964 |
| 2004Q2 | 2.885977 | 2.343503 |
| 2004Q3 | 2.833806 | 2.299685 |
| 2004Q4 | 2.334938 | 2.240036 |
| 2005Q1 | 2.739494 | 2.210789 |
| 2005Q2 | 2.563002 | 2.161177 |
| 2005Q3 | 2.597441 | 2.118141 |
| 2005Q4 | 3.342260 | 2.098453 |
| 2006Q1 | 4.027657 | 2.075046 |
| 2006Q2 | 3.598063 | 2.011271 |
| 2006Q3 | 3.500218 | 1.956526 |
| 2006Q4 | 3.571821 | 1.905383 |
| 2007Q1 | 3.152783 | 1.835366 |
| 2007Q2 | 3.502132 | 1.789505 |
| 2007Q3 | 2.726095 | 1.703256 |
| 2007Q4 | 2.095241 | 1.620505 |
| 2008Q1 | 0.841306 | 1.516045 |
| 2008Q2 | 0.893056 | 1.456639 |
| 2008Q3 | -0.205870 | 1.359120 |
| 2008Q4 | -2.408900 | 1.226440 |
| 2009Q1 | -3.093560 | 1.150076 |
| 2009Q2 | -1.923040 | 1.142246 |
| 2009Q3 | -0.985740 | 1.130750 |
| 2009Q4 | -0.228500 | 1.116081 |
| 2010Q1 | -0.429010 | 1.070894 |
| 2010Q2 | -0.124480 | 1.044838 |
| 2010Q3 | -0.252990 | 1.005756 |
| 2010Q4 | -0.453530 | 0.965972 |
| 2011Q1 | -0.469580 | 0.934374 |
| 2011Q2 | -0.429370 | 0.906610 |
| 2011Q3 | -1.114190 | 0.856180 |
| 2011Q4 | -0.805010 | 0.842054 |
| 2012Q1 | -0.443340 | 0.831967 |
| 2012Q2 | -1.441500 | 0.777679 |
| 2012Q3 | -1.730210 | 0.750419 |
| 2012Q4 | -1.160260 | 0.755591 |
| 2013Q1 | -0.903250 | 0.752822 |
| 2013Q2 | -0.650540 | 0.752186 |
| 2013Q3 | 0.290248 | 0.776734 |
| 2013Q4 | 0.610440 | 0.780977 |
| 2014Q1 | 0.031173 | 0.755058 |
| 2014Q2 | 0.897047 | 0.778973 |
| 2014Q3 | 0.992675 | 0.776695 |
| 2014Q4 | 0.803113 | 0.764482 |
| 2015Q1 | 0.136959 | 0.736109 |
| 2015Q2 | 0.445865 | 0.741513 |
| 2015Q3 | 0.210485 | 0.728929 |
| 2015Q4 | 0.479383 | 0.734101 |
| 2016Q1 | -0.129810 | 0.709948 |
| 2016Q2 | -0.242450 | 0.703731 |
| 2016Q3 | -0.022350 | 0.710060 |
| 2016Q4 | 0.080540 | 0.713437 |
| 2017Q1 | 0.648997 | 0.733417 |
| 2017Q2 | 0.665804 | 0.734871 |
| 2017Q3 | 0.710622 | 0.737366 |
| 2017Q4 | 0.878995 | 0.744074 |
Note: Shading represents NBER recessions: December 1969-November 1970, November 1973-March 1975, January 1980-July 1980, July 1981-November 1982, July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009.
Source: Author's calculation.
Last Update:
September 05, 2018