Front Matter Page
Strategy, Policy, and Review and Monetary and Capital Markets Departments
Contents
I. Introduction
II. Stylized Facts About Neutral Rates in Emerging Markets
III. A Brief Review of the Literature on Estimating Neutral Rates
IV. Structural Estimates of the Neutral Real Interest Rate in Brazil
V. Econometric Estimates of Neutral Rate in Brazil
A. Statistical Filters
B. Yield Curve Models
C. State Space Models
D. Fundamentals-based Regression Models
VI. Insights From a Small Monetary Model
VII. Concluding Remarks
Tables
1. Estimates of the Neutral Rate Based on Consumption Models
2. Emerging Markets: Estimates of the Ex-Post Neutral Rate From Statistical Filters
3. State Space Estimates of the Neutral Real Interest Rate, 2006–13
4. Determinants of Long-Run Equilibrium Real Interest Rate, 2003–13
5. Determinants of Short-Run Equilibrium Real Interest Rate, 2005–13
Figures
1. Emerging Markets: Declines in Neutral Real Interest Rates, 2005–13
2. Emerging Markets: PCA Decomposition of Real Policy Rates, 2002–13
3. Filter-based Real Policy Rate and Real Interest Gap, 2003–13
4. Slope of the Yield Curve, 2006–13
5. Neutral Real Interest Rate Based on State Space Model, 2006–13
6. Determinants of Long-Run Equilibrium Real Interest Rate, 2005–13
7. Inflation Surprise and Inflation Gap, 2005–13
8. Short- and Long-Run Equilibrium Real Interest Rates, 2005–13
9. Small Model: Scenarios for Neutral Rates
10. Falling Neutral Real Interest Rates in a Small Monetary Model: Scenarios
11. Scenario 3: Actual Real Interest Rate Gaps Under Different Policy Rules
References