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Natural Concepts in Macroeconomics
Ray C. Fair∗
June 2005
Abstract
Ragnar Frisch proposed in 1936 a procedure for estimating natural vari-
able values by modifying what are now called structural macroeconometric
models. This paper shows that Frisch’s procedure can be used to illuminate
natural concepts using today’s models. The procedure also forces one to be
precise regarding the assumptions used in moving from a short-run model to
a medium-run or long-run model.
1 Introduction
Natural concepts play an important role in macroeconomics. Wicksell (1898)
originated the idea of a natural rate of interest, and recently there has been renewed
interest in this concept.1 Friedman (1968) and Phelps (1968) originated the idea
of a natural rate of unemployment, and a huge literature developed from this work.
From early on economists have struggled with defining and measuring natural
values. An early attempt at this is in an important paper by Frisch (1936). At the
∗Cowles Foundation and International Center for Finance, Yale University, New Haven, CT
06520-8281. Voice: 203-432-3715; Fax: 203-432-6167; e-mail: ray.fair@yale.edu; website:
fairmodel.econ.yale.edu . I am indebted to William Brainard for helpful comments.
1See Bomfim (1997), Orphanides and Williams (2002), Laubach and Williams (2003), and
Woodford (2003).
1935 meeting of the Econometric Society, Frisch, Breit, F.G. Koopmans, Marschak,
and Tinbergen had discussions of Wicksell’s concept of the natural interest rate
and more generally of what was to be “understood by a ‘natural’ or ‘equilibrium’
position of a certain set of economic variables.”2 Frisch’s paper is an outcome of
this discussion. This is a fascinating paper for its time, and I argue
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