文章基本信息

标题：The Natural Rate of Interested in Brazil Between 1999 and 2005
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作者：Marcelo Savino Portugal ; Paulo Barcellos
期刊名称：Revista Brasileira de Economia
印刷版ISSN：0034-7140
出版年度：2009
卷号：63
期号：2
页码：103-118
语种：English
出版社：Escola de Pós-Graduação em Economia da FGV
摘要：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.
其他摘要：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.