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Estimation Of A Time Varying Natural Interest Rate For Peru

  • Alberto Humala

    ()

  • Gabriel Rodríguez

    ()

    (Departamento de Economía - Pontificia Universidad Católica del Perú)

Following the approach of MÈsonnier and Renne (2007), we estimate a Natural Rate of Interest (NRI) using quarterly Peruvian data for the period 1996:3-2008:3. The model has six equations and it is estimated using the Kalman Ölter with output gap and NRI as unobservable variables. Estimation results indicate a more stable NRI in period 2001:3-2008:3 than in period 1996:3-2001:2 and also more stable than the observed real interest rate. Real interest rate gap (di§erence between real and natural rates), which measures monetary policy stance, indicates a restrictive policy for 1996-2001. Results also show a negative interest rate gap onwards, suggesting a less restrictive policy.

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Paper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo / Working Papers with number 2011-316.

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Length: pages
Date of creation: 2011
Date of revision:
Publication status: published
Handle: RePEc:pcp:pucwps:wp00316
Contact details of provider: Postal:
Av. Universitaria 1801, San Miguel, Lima, Perú

Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
Web page: http://departamento.pucp.edu.pe/economia/
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