Estimation of a Time Varying Natural Interest Rate for Peru
Por Alberto Humala ; Rodríguez, Gabriel
March 2009
Idioma: English
Keywords
- interest rate
- Kalman filter
- natural interest rate
- output gap
- unobservable components
Clasificación JEL:
- C32
- E32
- E43
- E52
Resumen:
Following the approach of Mésonnier 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 filter 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 (difference between real and natural rates), which measures monetary policy stance, indicates a restrictive policy for 1996-2001 and for 2003. Results also suggest a real interest rate greater than NRI for 2002 and for 2004-2008.