Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework
Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework
复制标题
使用动态随机一般均衡框架估算加拿大的政策中性利率
DOI：
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发表时间：
2004
影响因子：
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通讯作者：
Greg Tkacz
中科院分区：
文献类型：
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作者：
Jean;Greg Tkacz
在一个主要政策工具是短期利率水平的时代，将这样一个利率水平相对于某个平衡值进行比较，可能是一种有用的政策指南，也是衡量货币政策立场的一种便捷方法。因此，实际利差，即实际均衡利率与央行设定的利率之间的差额，可以作为未来经济中通胀或通缩压力的领先指标。本文利用粘性价格动态随机一般均衡模型估计了加拿大的均衡利率。我们密切遵循Neiss和Nelson(2003)的方法，得出了加拿大利率差距的衡量标准。我们的结果表明，利差可以成为政策的有用指南，也是未来产出和通胀的良好指标。此外，我们发现，我们对利差的衡量与收益率差的表现一样好，收益率差是一种典型的政策立场衡量标准，被认为包含有关未来经济活动的重要信息。
In an era where the primary policy instrument is the level of short-term interest rates, comparing the level of such a rate relative to some equilibrium value can be a useful guide for policy and a convenient method to measure the stance of monetary policy. The real interest rate gap, the difference between the real equilibrium rate and the rate set by the central bank, can thus serve as a leading indicator of future inflationary or deflationary pressures in the economy. This paper estimates equilibrium interest rates for Canada using a sticky-price dynamic stochastic general equilibrium (DSGE) model. We follow the methodology of Neiss and Nelson (2003) closely and derive measures of the interest rate gap for Canada. Our results indicate that the interest rate gap can be a useful guide for policy and is a good an indicator of future output and inflation. Moreover, we find that our measures of the interest rate gap perform as well as the yield spread, a typical measure of policy stance which is assumed to contain significant information about future economic activity.