Natural interest rate in Brazil: further evidence frThe main objective of this study is to estimate the natural interest rate for Brazil using a parsimonious AR-trend-bound model proposed by Chan, Koop and Potter (2013). This model considers a time varying autoregressive process for the interest rate gap (difference between real interest rate and natural interest rate) and stochastic volatility (time-variant uncertainty). The interest rate gap measures the monetary policy stance. Furthermore, the unobserved latent states are limited, which can help to reduce the uncertainty regarding the estimation of these variables. This method presents plausible results for the Brazilian case. The average natural interest rate is around 5.41% p.a. The interest rate gap is positive until mid 2009, which indicates a restrictive policy for the period. Since then, the gap has had predominantly negative values, which indicates an expansionist policy. This result is consistent with the dynamics of the Brazilian economy.om an AR-trend-bound model

Economics Bulletin, 2016, vol. 36, issue 3, 1306-1314

Keywords: non-linear state space model; interest rate forecasting; natural interest rate; Bayesian methods; AR-trend-bound model (search for similar items in EconPapers)
JEL-codes: C5 E5 (search for similar items in EconPapers)
Date: 2016-07-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I3-P129.pdf (application/pdf)

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

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-16-00116

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().