The natural rate of interest in Brazil between 1999 and 2005

Detalhes bibliográficos
Autor(a) principal: Barcellos Neto,Paulo Chananeco F. de
Data de Publicação: 2009
Outros Autores: Portugal,Marcelo Savino
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402009000200003
Resumo: The aim of the present study is to estimate the level of the natural rate of interest in Brazil. First, statistical filters are used for the ex ante and ex post real interest series. Then, an estimation of a dynamic Taylor rule is performed. These two estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model following Laubach and Williams (2003). The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around the natural rate of interest, showing that the Brazilian monetary authority can not be characterized as conservative over the analyzed period.
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spelling The natural rate of interest in Brazil between 1999 and 2005Natural Rate of InterestMonetary PolicyInflation Targeting RegimeDynamic Taylor RuleThe aim of the present study is to estimate the level of the natural rate of interest in Brazil. First, statistical filters are used for the ex ante and ex post real interest series. Then, an estimation of a dynamic Taylor rule is performed. These two estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model following Laubach and Williams (2003). The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around the natural rate of interest, showing that the Brazilian monetary authority can not be characterized as conservative over the analyzed period.Fundação Getúlio Vargas2009-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402009000200003Revista Brasileira de Economia v.63 n.2 2009reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402009000200003info:eu-repo/semantics/openAccessBarcellos Neto,Paulo Chananeco F. dePortugal,Marcelo Savinoeng2009-10-16T00:00:00Zoai:scielo:S0034-71402009000200003Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2009-10-16T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv The natural rate of interest in Brazil between 1999 and 2005
title The natural rate of interest in Brazil between 1999 and 2005
spellingShingle The natural rate of interest in Brazil between 1999 and 2005
Barcellos Neto,Paulo Chananeco F. de
Natural Rate of Interest
Monetary Policy
Inflation Targeting Regime
Dynamic Taylor Rule
title_short The natural rate of interest in Brazil between 1999 and 2005
title_full The natural rate of interest in Brazil between 1999 and 2005
title_fullStr The natural rate of interest in Brazil between 1999 and 2005
title_full_unstemmed The natural rate of interest in Brazil between 1999 and 2005
title_sort The natural rate of interest in Brazil between 1999 and 2005
author Barcellos Neto,Paulo Chananeco F. de
author_facet Barcellos Neto,Paulo Chananeco F. de
Portugal,Marcelo Savino
author_role author
author2 Portugal,Marcelo Savino
author2_role author
dc.contributor.author.fl_str_mv Barcellos Neto,Paulo Chananeco F. de
Portugal,Marcelo Savino
dc.subject.por.fl_str_mv Natural Rate of Interest
Monetary Policy
Inflation Targeting Regime
Dynamic Taylor Rule
topic Natural Rate of Interest
Monetary Policy
Inflation Targeting Regime
Dynamic Taylor Rule
description The aim of the present study is to estimate the level of the natural rate of interest in Brazil. First, statistical filters are used for the ex ante and ex post real interest series. Then, an estimation of a dynamic Taylor rule is performed. These two estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model following Laubach and Williams (2003). The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around the natural rate of interest, showing that the Brazilian monetary authority can not be characterized as conservative over the analyzed period.
publishDate 2009
dc.date.none.fl_str_mv 2009-06-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402009000200003
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402009000200003
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402009000200003
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.63 n.2 2009
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
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