Abstract

CABALLERO PELAEZ, José Antonio  and  CACHAGA HERRERA, Pablo. Estimating the natural rate of interest from a Bayesian Time Varying Coefficient VAR model (BTVC-VAR)*. Revista de Análisis [online]. 2023, vol.39, n.1, pp. 1-27. ISSN 2304-8875.

ABSTRACT The estimation of the natural ¡nterest rate is considered relevant for the design and ¡mplementation of monetary policy. Although this ¡ndicator is especially relevant ¡n economies that opérate under ¡nflation targets, ¡t is still ¡mportant ¡n other schemes because ¡t allows us to knowatwhat level of ¡nterest rate ¡nflationary pressures or a curb on economic growth would not be generated. In this sense, ¡n the present research ¡ts estimation is proposed through a Bayesian Time Varying Coefficient VAR model for the Bolivian economy considering the period between the first quarter of 2010 and the fourth quarter of 2019, identified as the one that had good conditions of macroeconomic stability immediately after the crisis of the late 2000s and before the crisis of the Covid-19 pandemic. JEL Classif¡catión: E43, E47, E31, E23, E52

Keywords : Natural interest rate; BTVC-VAR; inflation; output growth; monetary policy.