Natural interest rate: Assessing the stance of India’s monetary policy under uncertainty

Behera, Harendra; Pattanaik, Sitikantha; Kavediya, Rajesh

doi:10.1016/j.jpolmod.2017.03.002

Cited by 11 publications

(5 citation statements)

References 16 publications

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“…With the number of EMDEs embracing inflation targeting rising-which meant that EMDEs were using interest rates to guide inflation to a predetermined target-and the popularity of estimates of the neutral interest rate such as Laubach and Williams (2003), researchers started estimating neutrals for these EMDEs. These include estimates for large EMDEs such as Brazil (de Barcellos Neto and Portugal, 2009;Duarte, 2010;Perrelli and Roache, 2014a), India (Behera et al, 2017), Mexico (Carrillo et al, 2017), and Turkey (Ögünç, 2006;Ögünç and Batmaz, 2011;Çatik and Akdeniz, 2019) and smaller ones such as Peru (Humala and Briones, 2011). Other EMDEs that have neutral estimates include Chile (Fuentes et al, 2007), Colombia (González et al, 2013), Philippines (Austria, 2018), South Africa (Kuhn et al, 2019), Thailand and Indonesia (Zhu, 2016), Kyrgyz Republic (Teodoru et al, 2020), Hungary, Poland, and Russia (Grafe et al, 2018).…”

Section: Neutral Real Interest Rate Estimates In Emdesmentioning

confidence: 99%

Neutral Real Interest Rates in Inflation Targeting Emerging and Developing Economies

Ruch¹

2021

Policy Research Working Papers

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The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

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Section: Neutral Real Interest Rate Estimates In Emdesmentioning

confidence: 99%

Neutral Real Interest Rates in Inflation Targeting Emerging and Developing Economies

Ruch¹

2021

Policy Research Working Papers

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“…Los resultados mostraron que la tasa de interés neutral no es una variable constante en el tiempo y que está significativamente relacionada con el crecimiento potencial de la economía. Behera et al (2017) se apoyan en el modelo de crecimiento de Ramsey (1928), basado en la macrodinámica del nuevo keynesianismo y del filtro de Kalman para estimar la tasa de interés natural de India. Ellos encuentran una brecha de la tasa de interés real negativa, cuando la inflación fue alta.…”

Section: La Tasa De Interés Neutral: Teoría Y Evidencia Empíricaunclassified

“…Así, para estimar la tasa neutral de México, se aplica el filtro de Kalman en el sistema de ecuaciones de la (1) a la (7) enunciadas previamente. Las ecuaciones de transición en este modelo son la (2), (3), (6), y (7) y las ecuaciones de medida son la (1) y la (5). El método de estimación de los parámetros es secuencial y esta descrito de manera detallada en Laubach y Williams (2003).…”

Section: Enfoque Del Filtro De Kalman Multivariado Para Estimar La Tasa Neutralunclassified

Tasa de política monetaria en México ante los efectos de Covid-19

Vargas

Herrera

2020

REMEF

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La crisis económica alimentada por el Covid-19 ha producido choques de oferta y demanda que afectan al producto potencial y a las preferencias de los consumidores, impacto que sugiere que la tasa real neutral de interés se modificó y, por ende, la tasa real de interés debe ajustarse para no generar una contracción económica más profunda en México. Estimamos el valor de la tasa neutral utilizando el método de Laubach y Williams, basado en el filtro de Kalman, y confirmamos los resultados con un modelo cointegrado de vectores autorregresivos (CVAR). Los resultados muestran que la tasa real neutral, teóricamente congruente con el pleno empleo y la meta de inflación, se reduce hasta 0.1% y la nominal hasta 3.1%, lo que sugiere la existencia de suficiente espacio para una política monetaria expansiva que permita enfrentar la crisis e impulsar la actividad económica durante al menos tres años.

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“…Using a theoretical framework that combines the essence of Ramsay's growth model and the new Keynesian macrodynamics, and further applying the Kalman filter estimation technique, Behera, Pattanaik and Kavediya (2017) examine the natural real interest rate of India covering the period of 2014 to 2015 [48]. Result shows that real interest rate is negative and statistically significant for the period under consideration.…”

Section: Review Of the Empirical Literaturementioning

confidence: 99%

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

Idris¹

2019

IJFBR

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This study examines the impact of interest rate on economic growth in Nigeria using annual time series data spanning 1980 to 2017. This phenomenon is particularly interesting from a theoretical standpoint as well as for the understanding of financial market mechanisms. The Vector Autoregression (VAR) model and the Granger causality test are employed to estimate the model coefficients and measure the causal relationship among the concerned variables. From the VAR-based impulse response function and its corresponding variance decomposition estimates, result shows the existence of negative relationship between interest rate and economic growth in Nigeria. In addition, the Granger causality test indicates the presence of bi-directional causal relationship between interest rate and economic growth. Consequently, monetary authorities should designed and implement interest rate policies that enhance investment and take into cognisance other elements that retard investment progression. To attain the desired growth level in Nigeria, monetary authorities and policy makers should adopt policy measures that are growth oriented and have the potentials to accelerate the economy to higher productivity and sustainable economic growth.

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Natural interest rate: Assessing the stance of India’s monetary policy under uncertainty

Cited by 11 publications

References 16 publications

Neutral Real Interest Rates in Inflation Targeting Emerging and Developing Economies

Neutral Real Interest Rates in Inflation Targeting Emerging and Developing Economies

Tasa de política monetaria en México ante los efectos de Covid-19

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

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