Natural interest rate and monetary policy: four essays.

Summary Since Wicksell (1898), the natural rate of interest has been defined as the level of the real interest rate consistent with stable inflation. This thesis, articulated around four essays, proposes to re-examine the concept of the natural rate from a historical perspective and to evaluate the practical utility, for monetary policy, of empirical estimates of this rate. The first article is devoted to Henry Thornton (1760-1815), often presented as a precursor of the Wicksellian model. Three empirical studies follow. The first estimates the natural interest rate in the euro zone using the Kalman filter. The second uses the same model to assess through simulations whether the uncertainty surrounding these estimates is such that it should discourage the central bank from taking them into account. Finally, the last essay examines the information content of the gap between the observed real short rate and the estimated natural rate for some key macroeconomic variables.