Estimating the natural interest rate in Brazil / Uma estimação da taxa natural de juros no Brasil

AUTOR(ES)

Alexandre Augusto Barcellos Rodrigues

DATA DE PUBLICAÇÃO

2009

RESUMO

This study proposes an estimate of the natural interest rate in Brazil using unobserved components. The methodology used here is the same as Laubach and Williams (2001), which proposes the natural interest rate as a function of the output gap. That said, besides the natural interest rate, both the potential output of the Brazilian economy and its growth rate will be estimated. The estimation process uses a Kalman filter in three steps and starts with a macroeconomic model that uses an IS and a Phillips curve

ASSUNTO(S)

taxa natural de juros produto potencial economia filtro de kalman monetary policy natural interest rate política monetária potential output kalman filter

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