Details nur auf Englisch.
A large macroeconomic literature documents and tries to explain the substantive secular decline of the real natural rate of interest, often referred to as R*. There is a renewed discussion on whether, in contrast to the standard New Keynesian model, monetary policy can have an effect on R*. In particular, economists are recognising that the prolonged periods of low interest rates, characteristic for the last decade, might have influenced the rate of investment and technological progress.
In the proposed project we contribute to the discussion both theoretically and empirically. In the theoretical part, we plan to develop a model framework that allows to study the relationship between monetary policy, productivity and long-run economic growth. The proposed quantitative New Keynesian model is suitable for addressing a number of important questions related to the natural rate of interest. First, we plan to study the transmission channel from monetary policy to the natural rate of interest that arises when firms that face credit constraints make strategic decisions about their investment into innovation and R&D. Second, we want to explore to what extent the framework of heterogeneous firms can explain the contrasting empirical observations of strong decline of R* over the last decades, while at the same time the estimated marginal product of capital appears to have changed little. Third, we plan to explore the implications for economic policy, and for monetary policy in particular. In the empirical part of the project, we plan to test whether the channels highlighted by the model are supported by the existing data. For this purpose, we primarily plan to use Austrian firm-level and industry-level data.