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The Information Content of the Natural Rate of Interest: The Case of Poland


  • Michal Brzoza-Brzezina

    (National Bank of Poland & Warsaw School of Economics)


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.

Suggested Citation

  • Michal Brzoza-Brzezina, 2004. "The Information Content of the Natural Rate of Interest: The Case of Poland," Macroeconomics 0402007, EconWPA.
  • Handle: RePEc:wpa:wuwpma:0402007 Note: Type of Document - pdf; prepared on WinXP; pages: 29; figures: 6

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    References listed on IDEAS

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    Cited by:

    1. Piotr Ciżkowicz & Andrzej Rzońca, 2015. "Inflation Targeting and its Discontents: The Case of Poland," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 65(supplemen), pages 107-122, December.
    2. Jakub Borowski & Michal Brzoza- Brzezina, 2004. "Designing Poland’s Macroeconomic Strategy on the Way to the Euro Area," Macroeconomics 0404015, EconWPA.
    3. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "Measuring the Natural Interest Rate for the Peruvian Economy," Working Papers 2006-003, Banco Central de Reserva del Perú.

    More about this item


    Poland; natural rate of interest; SVAR; transition economy;

    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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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