Do monetary policy shocks affect the neutral rate of interest? / Danilo Leiva-Leon, Rodrigo Sekkel, Luiz Uzeda.: FB3-5/2026-6E-PDF
"We develop a Trend-Cycle Bayesian VAR that jointly estimates the real neutral rate of interest, r*t, and identifies monetary policy shocks. A key innovation is that cyclical shocks, notably monetary policy shocks, can affect the trend of macroeconomic variables, providing a way to assess whether transitory disturbances have persistent effects. Using external instruments, we find that contractionary shocks reduce r*t, and lower trend GDP growth. Although they generate sizable movements, their contribution to the secular decline in r*t, is modest and slightly positive since the early 1990s. Cross-country evidence shows similar patterns"--Abstract.
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| Title | Do monetary policy shocks affect the neutral rate of interest? / Danilo Leiva-Leon, Rodrigo Sekkel, Luiz Uzeda. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | 1 online resource (47 pages) : graphs. |
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