Full text of Working Papers (Federal Reserve Bank of Richmond) : Behavior of the Real Rate of Interest Over the Business Cycle, Working Paper 00-09

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Working Paper Series

The Behavior of the Real Rate of Interest
over the Business Cycle

WP 00-09

Michael Dotsey
Federal Reserve Bank of Richmond
Brian Scholl

This paper can be downloaded without charge from:
http://www.richmondfed.org/publications/

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55

8

8

6

6

4

4

2

2

0

0

-2

-2

-4

-4
CORE-CPI
PCE-Def
CPI
GDP-Def

-6
-8

Percent

Percent

Figure 1a. Real rates method: VAR-in

-6
-8

-10

-10
47

52

57

62

67

72

77

82

87

92

97

Date

8

8

6

6

4

4

2

2

0

0

CORE-CPI
PCE-Def
CPI
GDP-Def

-2

Percent

Percent

Figure 1b. Real rates method: VAR-recursive

-2

-4

-4
47

52

57

62

67

72
Date

77

82

87

92

97

Figure 1c. Real rates method: VAR-roll

8

8

6

6

4

4

2

2

0

0

Percent

10

-2

-2

CORE-CPI
PCE-Def
CPI

-4

-4

GDP-Def
-6

-6
47

52

57

62

67

72
Date

77

82

87

92

97

Percent

10

10

10

8

8

6

6

4

4

2

2

0

0

-2

Percent

Percent

Figure 1d. Real rates method: TVP

-2

CORE-CPI
CPI

-4

-4

GDP-Def
PCE-Def

-6

-6
47

52

57

62

67

72

77

82

87

92

97

Date

10

10

8

8

6

6

4

4

2

2

0

0

-2

-2
CPI

-4

-4

GDP-Def

-6

-6
47

52

57

62

67

72
Date

77

82

87

92

97

Percent

Percent

Figure 1e. Real rates method: DRI-publ

Figure 1f. Real rates method: CPI

8

8

6

6

4

4

2

2

0

0

-2

-2

Percent

10

-4

-6

VAR-in

VAR-roll

DRI-publ

VAR-rec

Percent

10

-4

-6

TVP
-8

-8
47

52

57

62

67

72
Date

77

82

87

92

97

Figure 1g. Real rates method: GDP Deflator

6

6

4

4

2

2

0

0

-2

-2

-4

-4

Percent

8

-6
-8

VAR-in

VAR-roll

DRI-publ

VAR-rec

Percent

8

-6
-8

TVP
-10

-10
47

52

57

62

67

72
Date

77

82

87

92

97

Figure 1h. Real rates method: PCE-Deflator

8

8

6

6

4

4

2

2

0

0

-2

-2

Percent

10

VAR-in

-4

Percent

10

-4

VAR-roll
VAR-rec

-6

-6

TVP
-8

-8
47

52

57

62

67

72

77

82

87

92

97

Date

8

8

6

6

4

4

2

2

0

0

Percent

Percent

Figure 1i. Real rates method: Core CPI

-2

-2
VAR-in
VAR-roll
-4

-4

VAR-rec
TVP

-6

-6
47

52

57

62

67

72
Date

77

82

87

92

97

10

10

8

8

6

6

4

4

2

2

0

0

-2

-2

-4

-4
VAR-in
VAR-roll
VAR-rec
TVP

-6
-8

Percent

Percent

Figure 1j. Real rates method: INV-Deflator

-6
-8

-10

-10
47

52

57

62

67

72

77

82

87

92

97

Date

8

8

6

6

4

4

2

2

0

0

-2

-2

-4

-4

Percent

Percent

Figure 1k. Real rates method: GDP-Private

-6

-6

VAR-in
VAR-roll
VAR-rec
TVP

-8
-10

-8
-10
-12

-12
47

52

57

62

67

72
Date

77

82

87

92

97

Figure 2a. Real rates method VAR-in

6

4

Percent

2

0

-2

CPI
PCE-def
Output

-4

GDP-Def
Core-CPI

-6
47

52

57

62

67

Date

72

77

82

87

92

97

Figure 2b. Real rates method VAR-Recursive
4
3

Percent

2
1
0
-1
-2

CPI
PCE-def
Output

-3
-4

GDP-Def
Core-CPI

-5
47

52

57

62

67

Date

72

77

82

87

92

97

Figure 2c. Real rates method VAR-roll
4

Percent

2

0

-2

CPI
PCE-def
Output

-4

-6
47

52

57

62

67

Date

72

77

82

87

GDP-Def
Core-CPI
92

97

Figure 2d. Real rates method TVP
4

3

2

Percent

1

0

-1

-2

-3

CPI
PCE-def
Output

-4

GDP-Def
Core-CPI

-5
47

52

57

62

67

72

77

82

87

92

97

Date
Figure 2e. Real rates method DRI-publ
6
5
4

Percent

3
2
1
0
-1
-2

CPI
GDP-Def
Output

-3
-4
-5
47

52

57

62

67

72

Date

77

82

87

92

97

Figure 2f. Real rates method CPI
5
4
3
2

Percent

1
0
-1
-2
-3
-4

VAR-in
VAR-roll
DRI-publ

-5

VAR-rec
TVP
Output

-6
47

52

57

62

67

72

77

82

87

92

97

Date
Figure 2g. Real rates method GDP-def
4
3
2

Percent

1
0
-1
-2
-3

VAR-in
VAR-roll
DRI-publ

-4
-5

VAR-rec
TVP
Output

-6
47

52

57

62

67

Date

72

77

82

87

92

97

Figure 2h. Real rates method PCE-def
5
4
3
2

Percent

1
0
-1
-2
-3
-4

VAR-in
VAR-roll
Output

-5

VAR-rec
TVP

-6
47

52

57

62

67

72

77

82

87

92

97

Date
Figure 2i. Real rates method CORE-CPI
4
3
2

Percent

1
0
-1
-2
-3
-4

VAR-in
VAR-roll
Output

-5

VAR-rec
TVP

-6
47

52

57

62

67

72

Date

77

82

87

92

97
Full text of Working Papers (Federal Reserve Bank of Richmond) : Behavior of the Real Rate of Interest Over the Business Cycle, Working Paper 00-09

FRASER
