publication . Article . 2008

The Neutral Interest Rate: Estimates for Chile

Rodrigo Fuentes S; Fabián Gredig U.;
Open Access
  • Published: 01 Jan 2008 Journal: Economía Chilena, volume 11, issue 2 August, pages 47-58
To estimate the neutral real interest rate for Chile, we use a variety of methods that can be classified into three categories: those derived from economic theory, the neutral rate implicit in financial assets, and statistical procedures using macroeconomic data. We conclude that the neutral rate is not constant over time, but it is closely related with—though not equivalent to—the potential GDP growth rate. The application of the different methods yields fairly similar results. The neutral real interest rate for Chile seems to be in the range from 2.1% to 3.5%, with a median of 2.8% taking data of the fourth quarter of 2007.
24 references, page 1 of 2

Baeza, W. (2004). “Tasa de Interés Neutral: Antecedentes.” Minuta GAM N°34, Banco Central de Chile.

Banco Central Europeo (2004). Boletín Mensual, mayo.

Basdevant, O., N. Björksten y Ö. Karagedikli (2004). “Estimating a Time Varying Neutral Real Interest Rate for New Zealand.” Discussion Paper Series 2004/01, Reserve Bank of New Zealand.

Bernhardsen T. (2005). “The Neutral Real Interest Rate.” Staff Memo N°2005/1, Norges Bank. [OpenAIRE]

Bomfim, A.N. (2001). “Measuring Equilibrium Real Interest Rates: What Can We Learn from Yields on Indexed Bonds?” Federal Reserve Board of Governors. Finance and Economics Discussion Series 53, noviembre. [OpenAIRE]

Brzoza-Brzezina, M. (2004). “The Information Content of the Natural Rate of Interest: The Case of Poland.” Macroeconomics 040007, EconWPA.

Calderón, C. y F. Gallego (2002). “La Tasa de Interés Real Neutral en Chile.” EconomíaChilena 5(2): 65-72. [OpenAIRE]

Campbell, J.Y. y J.H. Cochrane (1999). “By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior.” Journal of Political Economy 107(2): 205-51.

Campbell, J., Lo, A. y C. MacKinlay (1997). The Econometrics of Financial Markets. Princeton, NJ, EE.UU.: Princeton University Press.

Clark, T.E. y S. Kozicki (2005) “Estimating Equilibrium Real Interest Rates in Real Time.” The North American Journal ofEconomicsandFinanc e 16(3): 395-413. [OpenAIRE]

Cochrane, J.H. (2001). Asset Pricing. Princeton, NJ, EE.UU.: Princeton University Press.

Cuaresma J. C, E. Gnan y D. Ritzberger-Gruenwald (2003). “Searching for the Natural Rate of Interest: A Euro-Area Perspective.” Working Papers N°84, Oesterreichische Nationalbank (Banco Central de Austria). [OpenAIRE]

D'Amato, J. (2004). “The Role of the Natural Rate of Interest in Monetary Policy.” BIS Working Paper N°171.

Fuentes, R., F. Gredig y M. Larraín (2008). “La Brecha de Producto en Chile: Medición y Evaluación.” Economía Chilena 11(2): 7-30.

Galí, J. (003). New Perspectives on Monetary Policy, Inflation, and the Business Cycle. En Advances in Economic Theory, editado por M. Dewatripont, L. Hansen y S. Turnovsky, vol. III. Cambridge, MA, EE.UU.: Cambridge University Press.

24 references, page 1 of 2
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue