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Estimates and projections of the natural rate of interest for Poland and the euro area

Author

Listed:
  • Marcin Bielecki

    (Narodowy Bank Polski)

  • Aneta Błażejowska

    (Narodowy Bank Polski)

  • Michał Brzoza-Brzezina

    (Narodowy Bank Polski)

  • Kamila Kuziemska-Pawlak

    (Narodowy Bank Polski)

  • Grzegorz Szafrański

    (Narodowy Bank Polski)

Abstract

We use a wide range of models (time series, semi-structural and structural) to estimate, project and explain the evolution of the natural rate of interest (NRI) in Poland (PL) and in the euro area (EA). Our findings are as follows: (i) the NRIs declined significantly in both PL and the EA over the last two decades, (ii) our most recent short-term estimates point towards a mildly negative NRI in PL and appreciably more negative NRI in the EA, (iii) our most recent medium-term estimates point towards a mildly positive NRI in PL and a slightly negative NRI in the EA, (iv) the NRI in PL remained consistently above the NRI in the EA by an average of 2-3 pp, (v) the main drivers of the declining NRIs were demographics and the worldwide productivity slowdown, (vi) the main driver of the higher NRI in PL than in the EA was the productivity catch-up in PL, (vii) we expect the NRI in PL to significantly converge to the EA level by the mid-2030s.

Suggested Citation

  • Marcin Bielecki & Aneta Błażejowska & Michał Brzoza-Brzezina & Kamila Kuziemska-Pawlak & Grzegorz Szafrański, 2023. "Estimates and projections of the natural rate of interest for Poland and the euro area," NBP Working Papers 364, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:364
    Note: The views expressed in the paper are solely our own and do not reflect the position of Narodowy Bank Polski. We wish to thank an anonymous referee, as well as the participants of the NBP seminar, Joint Deutsche Bundesbank & Narodowy Bank Polski Seminar in Gdańsk and 5th Warsaw Money-Macro-Finance Conference for comments and discussions.
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    Keywords

    natural rate of interest; monetary policy; Poland; euro area.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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