November 12, 2019  Slide 2 of 8  Figure 3: Estimates of r*  Note: The foreign r* shown in the chart captures the comovement of r*in Canada, the euro area, and the United Kingdom with the U.S. r*. Specifically, the foreign r* is a linear combination of the r*s for Canada, the euro area, and the United Kingdom.
The weights are equal to (minus) the cointegrating vector coefficient for each country as reported in Holston, Laubach, and Williams (2017) from a vector-errorcorrection model fitted to r*s in the United States, Canada, the euro area, and the United Kingdom. Source: Holston, Laubach, and Williams (2017); Clarida (2019); Board staff calculations.