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dc.contributor.authorFonseca, Marcelo
dc.contributor.authorMuinhos, Marcelo Kfoury
dc.date.accessioned2020-07-09T16:44:03Z
dc.date.available2020-07-09T16:44:03Z
dc.date.issued2016
dc.identifier.urihttps://hdl.handle.net/10438/29420
dc.description.abstractReal interest rates in Brazil are still high in any international comparison, even considered that they have declined significantly in the last few years. The main purpose of this paper is not only to update but also extend the Laubach and Williams (2003) using fiscal and credit variables. We also present a new methodology to calculate the output gap. Our long run equilibrium rate is slightly above 3% aligned with Laubach and Williams (2003) and supposing long term inflation expectation in US is 2%, real rates there are half what we found for Brazil. Our sensitivity analysis have shown that our results changed slightly in different scenarios regarding Brazil risk premium but deeply to potential GDP growth. Considering the alternative scenario for output gap, real rate values are much lower, because in this case output gap is much wider.por
dc.language.isoen_US
dc.subjectReal interest ratepor
dc.subjectLaubach Willianspor
dc.subjectKalman filterpor
dc.titleEquilibrium interest rates in Brazil: a laubach and williams approachpor
dc.typePapereng
dc.subject.areaEconomiapor
dc.contributor.unidadefgvDemais unidades::RPCApor
dc.subject.bibliodataTaxas de jurospor


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