The Natural Rate of Interested in Brazil Between 1999 and 2005
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por eng |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | https://periodicos.fgv.br/rbe/article/view/1035 |
Resumo: | The aim of the present study is to estimate the level of the natural rate of interest in Brazil after the implementation of the inflation targeting regime. Miranda and Muinhos (2003), Arida, Bacha and Lara-Resende (2005), Gonçalves, Holland and Spacov (2005) and Muinhos and Nakane (2006) investigated the major reasons for the persistently high levels of real interest rates in Brazil. The present study introduces three different estimates for the behavior of long-term interest rates in Brazil. First of all, the definition of the natural rate of interest is analyzed in a time perspective, highlighting the importance of this issue to the conduct of present-day Brazilian monetary policy. In a second moment, statistical filters are used for the ex ante and ex post real interest series, followed by the estimation of a dynamic Taylor rule, which allows obtaining the real interest rate implicit in the monetary policy decisions made by the Brazilian Central Bank after the implementation of the inflation targeting regime. These estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model, as proposed by Laubach and Williams (2003). The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around that of the natural rate of interest, showing that the Brazilian monetary authority assumed a policy-neutral stance in most of the analyzed period. |
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The Natural Rate of Interested in Brazil Between 1999 and 2005The Natural Rate of Interested in Brazil Between 1999 and 2005The aim of the present study is to estimate the level of the natural rate of interest in Brazil after the implementation of the inflation targeting regime. Miranda and Muinhos (2003), Arida, Bacha and Lara-Resende (2005), Gonçalves, Holland and Spacov (2005) and Muinhos and Nakane (2006) investigated the major reasons for the persistently high levels of real interest rates in Brazil. The present study introduces three different estimates for the behavior of long-term interest rates in Brazil. First of all, the definition of the natural rate of interest is analyzed in a time perspective, highlighting the importance of this issue to the conduct of present-day Brazilian monetary policy. In a second moment, statistical filters are used for the ex ante and ex post real interest series, followed by the estimation of a dynamic Taylor rule, which allows obtaining the real interest rate implicit in the monetary policy decisions made by the Brazilian Central Bank after the implementation of the inflation targeting regime. These estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model, as proposed by Laubach and Williams (2003). The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around that of the natural rate of interest, showing that the Brazilian monetary authority assumed a policy-neutral stance in most of the analyzed period.The aim of the present study is to estimate the level of the natural rate of interest in Brazil after the implementation of the inflation targeting regime. Miranda and Muinhos (2003), Arida, Bacha and Lara-Resende (2005), Gonçalves, Holland and Spacov (2005) and Muinhos and Nakane (2006) investigated the major reasons for the persistently high levels of real interest rates in Brazil. The present study introduces three different estimates for the behavior of long-term interest rates in Brazil. First of all, the definition of the natural rate of interest is analyzed in a time perspective, highlighting the importance of this issue to the conduct of present-day Brazilian monetary policy. In a second moment, statistical filters are used for the ex ante and ex post real interest series, followed by the estimation of a dynamic Taylor rule, which allows obtaining the real interest rate implicit in the monetary policy decisions made by the Brazilian Central Bank after the implementation of the inflation targeting regime. These estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model, as proposed by Laubach and Williams (2003). The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around that of the natural rate of interest, showing that the Brazilian monetary authority assumed a policy-neutral stance in most of the analyzed period.EGV EPGE2009-06-24info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/1035Revista Brasileira de Economia; Vol. 63 No. 2 (2009); 103-118Revista Brasileira de Economia; v. 63 n. 2 (2009); 103-1181806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporenghttps://periodicos.fgv.br/rbe/article/view/1035/858https://periodicos.fgv.br/rbe/article/view/1035/859Portugal, Marcelo SavinoBarcellos, Pauloinfo:eu-repo/semantics/openAccess2009-07-09T20:56:12Zoai:ojs.periodicos.fgv.br:article/1035Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:02:59.767120Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true |
dc.title.none.fl_str_mv |
The Natural Rate of Interested in Brazil Between 1999 and 2005 The Natural Rate of Interested in Brazil Between 1999 and 2005 |
title |
The Natural Rate of Interested in Brazil Between 1999 and 2005 |
spellingShingle |
The Natural Rate of Interested in Brazil Between 1999 and 2005 Portugal, Marcelo Savino |
title_short |
The Natural Rate of Interested in Brazil Between 1999 and 2005 |
title_full |
The Natural Rate of Interested in Brazil Between 1999 and 2005 |
title_fullStr |
The Natural Rate of Interested in Brazil Between 1999 and 2005 |
title_full_unstemmed |
The Natural Rate of Interested in Brazil Between 1999 and 2005 |
title_sort |
The Natural Rate of Interested in Brazil Between 1999 and 2005 |
author |
Portugal, Marcelo Savino |
author_facet |
Portugal, Marcelo Savino Barcellos, Paulo |
author_role |
author |
author2 |
Barcellos, Paulo |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Portugal, Marcelo Savino Barcellos, Paulo |
description |
The aim of the present study is to estimate the level of the natural rate of interest in Brazil after the implementation of the inflation targeting regime. Miranda and Muinhos (2003), Arida, Bacha and Lara-Resende (2005), Gonçalves, Holland and Spacov (2005) and Muinhos and Nakane (2006) investigated the major reasons for the persistently high levels of real interest rates in Brazil. The present study introduces three different estimates for the behavior of long-term interest rates in Brazil. First of all, the definition of the natural rate of interest is analyzed in a time perspective, highlighting the importance of this issue to the conduct of present-day Brazilian monetary policy. In a second moment, statistical filters are used for the ex ante and ex post real interest series, followed by the estimation of a dynamic Taylor rule, which allows obtaining the real interest rate implicit in the monetary policy decisions made by the Brazilian Central Bank after the implementation of the inflation targeting regime. These estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model, as proposed by Laubach and Williams (2003). The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around that of the natural rate of interest, showing that the Brazilian monetary authority assumed a policy-neutral stance in most of the analyzed period. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-06-24 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articles Artigos |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/1035 |
url |
https://periodicos.fgv.br/rbe/article/view/1035 |
dc.language.iso.fl_str_mv |
por eng |
language |
por eng |
dc.relation.none.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/1035/858 https://periodicos.fgv.br/rbe/article/view/1035/859 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
EGV EPGE |
publisher.none.fl_str_mv |
EGV EPGE |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia; Vol. 63 No. 2 (2009); 103-118 Revista Brasileira de Economia; v. 63 n. 2 (2009); 103-118 1806-9134 0034-7140 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
_version_ |
1798943112791326720 |