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A taxa natural de juros no Brasil


  • Teles, Vladimir Kuhl
  • Ribeiro, Alessandra Cocarelli Alves


In this paper, the natural rate of interest for the brazilian economy was estimated between end of 2001 and second quarter of 2010 based on two models, being the first the method suggested by Laubach and Williams and the second, the one suggested by Mesónnier and Renne, which is a altered version of the first one, that according to authors allows a more transparent and robust estimation. In both models, the natural rate of interest is estimated jointly with potential output, using the Kalman filter, in a state-space format. The two models estimates have not presented a significant difference, which generates more confidence in the produced results. Considering the period of more interest of this paper (after 2005), the estimates show that the natural rate of interest has been falling in the brazilian economy since 2006. The measurement of the natural rate of interest, additionally, allowed an assessment of the monetary policy implemented by the Brazilian Central Bank in the last years through the interest rate gap concept. In general, the analysis has showed a more conservative Central Bank between 2001 end and 2005 and neutral since then. This conclusion differs from others analysis, specially for the first period.

Suggested Citation

  • Teles, Vladimir Kuhl & Ribeiro, Alessandra Cocarelli Alves, 2011. "A taxa natural de juros no Brasil," Textos para discussão 276, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  • Handle: RePEc:fgv:eesptd:276

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    Other versions of this item:

    • Alessandra Ribeiro & Vladimir K. Teles, 2013. "Taxa Natural de Juros no Brasil," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 14(1c), pages 733-750.

    References listed on IDEAS

    1. Pereira, Luiz C. Bresser, 2014. "Growth and distribution: a revised classical model," Textos para discussão 372, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
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    Cited by:

    1. Andreza A Palma, 2016. "Natural interest rate in Brazil: further evidence frThe main objective of this study is to estimate the natural interest rate for Brazil using a parsimonious AR-trend-bound model proposed by Chan, Koo," Economics Bulletin, AccessEcon, pages 1306-1314.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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