The Information Content of the Natural Rate of Interest: The Case of Poland

Abstract: In this paper, I use a structural VAR model and the Kalman filter to estimate the natural rate of interest (NRI) in Poland. I show how the NRI can yield important information for a central banker. First, estimation of the NRI can be helpful for monetary authorities, seeking to stabilize inflation after a long process of disinflation. Second, for a country trying to join a monetary union there exists an additional information content of the estimated NRI. The bigger the difference between the candidates and the Unions natural rates, the more likely the “Portuguese” scenario of a widening current account after adopting the common currency.

Keywords: Poland; natural rate of interest; SVAR; transition economy (search for similar items in EconPapers)
JEL-codes: C32 E31 E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn and nep-mon
Date: Written 2004-02-04
Note: Type of Document - pdf; prepared on WinXP; pages: 29; figures: 6
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/mac/papers/0402/0402007.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Macroeconomics from EconWPA
Series data maintained by EconWPA ().