Market-based estimates of the natural real rate: evidence from latin american bond markets

• Autores: Eggert Christensen, Jens Henrik, Ceballos, Luis, Romero, Damian
• Formato: artículo
• Fecha de Publicación: 2023
• Institución: Universidad Nacional de Ingeniería
• Repositorio: Revistas - Universidad Nacional de Ingeniería
• Lenguaje: español
• OAI Identifier: oai:oai:revistas.uni.edu.pe:article/2042
• Enlace del recurso: https://revistas.uni.edu.pe/index.php/iecos/article/view/2042
• Nivel de acceso: acceso abierto
• Materia: modelo de estructura temporal libre de arbitraje afín; fricciones en el mercado financiero; política monetaria; rstar; affine arbitrage-free term structure model; financial market frictions; monetary policy

We provide market-based estimates of the natural real rate, that is, the steady-state short-term real interest rate, for Brazil, Chile, and Mexico. Our approach uses a dynamic term structure finance model estimated directly on the prices of individual inflation- indexed bonds with adjustments for real term and bond-specific liquidity premia. First, we find that inflation-indexed bond liquidity premia in all three countries are sizable with significant variation. Second, we find large differences in their estimated equilibrium real rates with Brazil’s being large and volatile, Mexico’s stable, but elevated, while Chile’s is low and has fallen persistently.