The natural yield curve in Brazil
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<p>This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this model are then used in a model that includes an IS and a Phillips curve. The natural yield curve is obtained as the level, slope and curvature that closes the output gap at each point in time. This decomposition allows a broader indicator of the stance of monetary policy and a real-time measure of the natural rate. The difference between the slope of the real curve and its natural counterpart is highly correlated with the output gap.</p>
2013 ◽
Vol 12
(6)
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pp. 613
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2010 ◽
Vol 26
(4)
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2020 ◽
Vol 10
(3)
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pp. 193-203
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2019 ◽
Vol 11
(1)
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pp. 1-48
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