論文

This paper investigates how and to what extent non-linearities, including the zero lower bound on the nominal interest rate, affect the estimate of the U.S. natural rate of interest in a dynamic stochastic general equilibrium model. The estimated natural rate in a non-linear model is substantially different from that in its linear counterpart after the global financial crisis because of the zero lower bound. Other non-linearities such as price and wage dispersion, from which a linear model abstracts, play a negligible role in identifying the natural rate.