Title To cut or not to cut? : that is the (Central Bank's) question in search of the neutral interest rate in Latin America / prepared by Nicolas E. Magud and Evridiki Tsounta

Published Washington, D.C. : International Monetary Fund, 2013

Click on the following:
IMF eLibrary

Copies

Description 1 online resource (47 pages :) : illustrations Series IMF working paper ; WP/13/243 Contents Cover; Contents; I. Introduction; II. Some Existing Literature; III. Econometric Analysis; A. Static Methodologies; Consumption-Smoothing Models; Uncovered Interest Parity (UIP) Condition; B. Dynamic Methodologies; HP Filters; Implicit Common Stochastic Trend; Dynamic Taylor Rule; Expected-Inflation Augmented Taylor Rule; General Equilibrium Model (S-I Macro Model); IV. Data Description; V. Results; Boxes; 1. Why is Brazil's Neutral Real Interest Rate so High?; A. Static Estimations; B. Dynamic Estimations; C. Effectiveness of Monetary Policy, Measured by the Interest Rate Gap VI. Macro-Prudential Policies: An Effective Complement/Substitute to Interest Rate Policy?2. How strong is the Credit Channel in Latin America?; VII. Conclusions and Policy Implications; Tables; 1. NRIR Using Consumption CAPM; 2. The Neutral Interest Rate using Interest Rate Parity Condition; Figures; 1. NRIR Using HP Filter; 2. NRIR: Implicit Common Stochastic Trend; 3. NRIR: Dynamic Taylor Rule; 4. NRIR: Expected-Inflation Augmented Taylor Rule; 5. NRIR: General Equilibrium Model; 6. Latin America: Interest and Output Gap; 7. Latin America: Interest Gap and Economic Growth 8. Latin America: Output, Interest, and Inflation Gaps9. Model and IMF Desk's Output Gap Estimations; Appendices; I. Recent Macroprudential Measures in Brazil and Peru; II. Data Sources and Description; References Summary This paper estimates neutral real interest rate (NRIR) ranges for 10 Latin American countries that either have full-fledged inflation targeting regimes in place or have recently adopted them, using an array of methodologies commonly used in the literature. We find that NRIRs have declined in the last decade, with more economically and financially developed economies exhibiting lower NRIR levels. Based on the estimated NRIRs, we assess that the current monetary stance (measured by the interest rate gap) is appropriately neutral in most of the considered economies, in line with closing output ga Bibliography Includes bibliographical references Subject Interest rates -- Latin America -- Econometric models Interest -- Latin America Interest Interest rates -- Econometric models Latin America Form Electronic book Author Tsounta, Evridiki

  Permalink