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Do Monetary Policy Shocks Affect the Neutral Rate of Interest?
We develop a Trend-Cycle Bayesian VAR that jointly estimates the real neutral rate of interest, r？ t, and identifies monetary policy shocks. A key innovation is that cyclical shocks, notably monetary policy shocks, can affect the trend of macroeconomic variables, providing a way to assess whether transitory disturbances have persistent effects. Using external instruments, we find that contractionary shocks reduce r？ t and lower trend GDP growth. Although they generate sizable movements, their contribution to the secular decline in r？ t is modest and slightly positive since the early 1990s. Cross-country evidence shows similar patterns
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