Estimating the neutral real interest rate in an emerging market economy

References

• Anderson , BDO and Moore , JB . 1979 . Optimal Filtering , Englewood Cliffs, NJ : Prentice-Hall .
   Google Scholar
• Archibald , J and Hunter , L . 2001 . What is the neutral real interest rate, and how can we use it? . Reserve Bank of New Zealand Bulletin , 64 : 15 – 28 .
   Google Scholar
• Bernhardsen , T . 2005 . The neutral real interest rate Norges Bank Staff Memo No. 2005-1
   Google Scholar
• Björksten , N and Karagedikli , Ö . 2003 . Neutral real interest rates revisited . Reserve Bank of New Zealand Bulletin , 66 : 18 – 27 .
   Google Scholar
• Clark , PK . 1987 . The cyclical component of US economic activity . Quarterly Journal of Economics , 102 : 797 – 814 .
   Web of Science ®Google Scholar
• Clark , T and Kozicki , S . 2004 . Estimating equilibrium real interest rates in real time Working Paper No. 2004–08, Federal Reserve Bank of Kansas City, Kansas
   Google Scholar
• Garnier , J and Wilhelmsen , B . 2005 . The natural real interest rate and the output gap in the Euro area: a joint estimation Working Paper Series No. 546, European Central Bank, Frankfurt
   Google Scholar
• Giammarioli , N and Valla , N . 2004 . The natural real interest rate and monetary policy: a review . Journal of Policy Modelling , 26 : 641 – 60 .
   Web of Science ®Google Scholar
• Harvey , AC . 1990 . Forecasting, Structural Time Series Models and the Kalman Filter , Cambridge : Cambridge University Press .
   Google Scholar
• Kara , H , Öğünç , F , Özlale , Ü and Sarıkaya , Ç . 2007 . Estimating the output gap in a changing economy . Southern Economic Journal , 74 : 269 – 89 .
   Web of Science ®Google Scholar
• Kozicki , S . 2004 . How do data revisions affect the evaluation and conduct of monetary policy? Federal Reserve Bank of Kansas City, Economic Review, 5–38
   Google Scholar
• Kuttner , KN . 1994 . Estimating potential output as a latent variable . Journal of Business and Economic Statistics , 12 : 361 – 8 .
   Web of Science ®Google Scholar
• Kuttner , KN . 1999 . A time-series approach to potential output Manuscript, Federal Reserve Bank of New York
   Google Scholar
• Larsen , JDJ and McKeown , J . 2003 . The information content of empirical measures of real interest rate and output gaps for the United Kingdom BIS Papers No. 19, Bank for International Settlements, Basel
   Google Scholar
• Laubach , T and Williams , JC . 2003 . Measuring the natural rate of interest . The Review of Economics and Statistics , 85 : 1063 – 70 .
   Web of Science ®Google Scholar
• Mesonnier , J-S and Renne , J-P . 2004 . A time-varying ‘natural’ rate of interest for the euro area Banque de France Working Paper No. 115, Banque de France, Paris
   Google Scholar
• Neiss , KS and Nelson , E . 2003 . The real-interest-rate gap as an inflation indicator . Macroeconomic Dynamics , 7 : 239 – 62 .
   Web of Science ®Google Scholar
• Öğünç , F and Ece , D . 2004 . Estimating the output gap for Turkey: an unobserved components approach . Applied Economics Letters , 11 : 177 – 82 .
   Web of Science ®Google Scholar
• Orphanides , A and Williams , JC . 2002 . Robust monetary policy rules with unknown natural rates . Brookings Papers on Economic Activity , 2 : 63 – 145 .
   Google Scholar
• Rudebusch , GD and Svensson , LEO . 1998 . Policy rules for inflation targeting NBER Working Paper Series No. 6512, National Bureau of Economic Research Cambridge, MA
   Google Scholar
• Watson , MW . 1986 . Univariate detrending methods with stochastic trends . Journal of Monetary Economics , 18 : 49 – 75 .
   Web of Science ®Google Scholar
• Wintr , L , Guardo , P and Rouabah , A . 2005 . Estimating the natural interest rate for the Euro area and Luxembourg, , Cahier D’etudes Working Paper No. 15 Luxembourg : Banque Centrale Du Luxembourg .
   Google Scholar