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Estimating a neutral real interest rate in Russia during inflation targeting
https://doi.org/10.32609/0042-8736-2021-9-5-23
Abstract
The article aims to estimate a short-term neutral real interest rate (NRI) in Russia after transition to inflation targeting. The article provides a review of theoretical factors, which demonstrates the difference between short-term and long-term neutral real interest rate. The following analysis of estimates of NRI in different countries shows that its decline in developed and developing countries is due to various factors. Further, the article provides a comparative analysis of advantages and disadvantages of three main approaches to NRI estimation: using financial market indicators, statistical methods and multilevel theoretical models. Based on multivariate unobserved components model (UCM) for the Russian economy, the article concludes that the short-term NRI decreased from 5 to 1% in 2016—2020, whereas monetary policy was predominantly neutral.
About the Authors
S. M. Drobyshevsky
Gaidar Institute for Economic Policy
Russian Federation
Russian Federation
Sergey M. Drobyshevsky
Moscow
P. V. Trunin
Gaidar Institute for Economic Policy; Russian Presidential Academy of National Economy and Public Administration
Russian Federation
Russian Federation
Pavel V. Trunin
Moscow
E. V. Sinelnikova-Muryleva
Russian Presidential Academy of National Economy and Public Administration
Russian Federation
Russian Federation
Elena V. Sinelnikova-Muryleva
Moscow
N. V. Makeeva
Russian Presidential Academy of National Economy and Public Administration
Russian Federation
Russian Federation
Natalja V. Makeeva
Moscow
A. M. Grebenkina
Russian Presidential Academy of National Economy and Public Administration
Russian Federation
Russian Federation
Alina M. Grebenkina
Moscow
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Review
For citations:
Drobyshevsky S.M., Trunin P.V., Sinelnikova-Muryleva E.V., Makeeva N.V., Grebenkina A.M. Estimating a neutral real interest rate in Russia during inflation targeting. Voprosy Ekonomiki. 2021;(9):5-23. (In Russ.) https://doi.org/10.32609/0042-8736-2021-9-5-23
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