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The Information Content of the Natural Rate of Interest: The Case of Poland Author info | Abstract | Publisher info | Download info | Related research | Statistics Michal Brzoza-Brzezina (National Bank of Poland & Warsaw School of Economics)
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In this paper, I use a structural VAR model and the Kalman filter to estimate the natural rate of interest (NRI) in Poland. I show how the NRI can yield important information for a central banker. First, estimation of the NRI can be helpful for monetary authorities, seeking to stabilize inflation after a long process of disinflation. Second, for a country trying to join a monetary union there exists an additional information content of the estimated NRI. The bigger the difference between the candidates and the Unions natural rates, the more likely the “Portuguese” scenario of a widening current account after adopting the common currency.
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Paper provided by EconWPA in its series Macroeconomics with number
0402007.
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Length: 29 pages
Date of creation: 04 Feb 2004Date of revision:
Handle: RePEc:wpa:wuwpma:0402007Note: Type of Document - pdf; prepared on WinXP; pages: 29; figures: 6Contact details of provider: Web page: http://129.3.20.41
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Keywords: Poland ; natural rate of interest ; SVAR ; transition economy ; Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
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repec:fip:fedreq:y:1983:i:sep:p:12-21:n:v.69no.5 is not listed on IDEAS
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
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