Estimación de la tasa de interés real neutral para la economía ecuatoriana

Abstract

The Neutral Real Interest Rate(NRIR) is a consistent interest with the same product to its potential level and stable inflation. For this reason NRIR is considered fundamental to the conduct of monetary policy instrument. In the last decade there have been several efforts to estimate it through the application of economic models and reflect the unobservable characteristic and dynamics of the NRIR. This work use a semi structural model of unobservable components for calculation of the neutral interest rate, using the algorithm of Kalman Filter and Function of Maximum Likelihood, the same is adapted to the conditions of the Ecuadorian economy between 2000 and 2012. The estimated NRIR show a cycle during the initial period of dollarization containing a short climb until 2002 with a peak value of 8.50% and a decrease during 2003 to 2006 with an average of 7.36%, since 2007 it shows a relatively stable behavior in 5.20% on average. This valuation is nearby to the results found in neighboring economies.