Text
Natural rate of interest in Indonesia : Kalman filter approach
In the long run, nominal interest rates will move closer to the equilibrium (natural) real interest rate plus inflation expectations. Natural real interest rate has become an important concept for policy makers since it is used as a benchmark whether the stance of monetary policy has been set in accordance with the economic conditions (neutral), too tight or too loose. This paper estimates the natural rate of interest (NRI) in Indonesia during 2000q1 - 2011q2 using Kalman filter. The results show a sharp decline of NRI from 2000q1 to 2006q4, but an increasing trend after that. NRI calculations indicate that during period of 2010q3 to 2011q2, Bank Indonesia policy rate was considered to be neutral. By using headline inflation as part of inflation expectations, NRI in 2011q2 is estimated about 0.94%. Comparing with SVAR method, calculating NRI using Kalman filter method is better since it gives smoother movement of NRI and more robust in predicting inflation and growth..
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 |
| Penerbit | : Jurnal BPPK 2013 |
|---|---|
| Edisi | - |
| Subjek | Economic growth Inflation Interest rate Kalman filter |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |