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This paper reexamines the long-run real interest rate parity of the OECD countries by using the unit root test proposed by Ng and Perron (2001) and by the application of simulation to establish the small sample distribution under the null and the alternative hypothesis. By using the small sample distribution of the unit root statistics, we can make sure that first, size distortions are not the reasons contributing to the rejection of the fact that the alternative hypothesis is unit root. Second, the inference that the low power is not necessary causes the not rejecting the alternative hypothesis is correct. If still can not decide which distributions might cause the real interest difference series by comparing the unit root statistics and the relative location of the small sample distribution, we test that whether the series are asymmetric in those countries which we can not decide what kind of distributions they are by the threshold autoregression model proposed by Caner and Hansen (2001). Finally, the empirical results indicate that the RIPH holds in Australia¡BBelgium¡BCanada¡BFinland¡BFrance¡BGermany¡BJapan and Sweden whenever data frequency under linear time series model. Under quarterly data of Italy and United Kingdom and monthly data of Denmark, it turns out that the data have the traits of nonlinear time series model. Besides, the evidence of supporting the long-run real interest rate parity can not be reached and the phenomena that partial unit root exist in United Kingdom and Denmark.

O fato de haver na economia brasileira um baixo volume de crédito ao setor privado, tornando mais difícil o acesso das empresas a financiamentos que lhes possibilitem aceitar projetos de investimentos que as faria maiores e mais lucrativas, desenvolvendo o setor empresarial e a sociedade como um todo, é a motivação deste trabalho que busca avaliar o impacto de três fatores específicos no nível de crédito ao setor privado existente em um país: (i) o nível de eficiência jurídica; (ii) o grau de instabilidade econômica; e (iii) o volume de poupança total. A importância de tais fatores é fundamentada na revisão da literatura e sua análise, através do uso de regressões simples e múltiplas do tipo cross-section envolvendo 207 países, confirmou em todas as especificações a hipótese de que quanto mais eficiente for o sistema jurídico de um país, maior será o volume de crédito nele disponível. O grau de instabilidade econômica e o nível de poupança se mostraram também fatores condicionantes do volume de crédito, mas não em todas as especificações e com um impacto menor ao verificado para o sistema jurídico. Estimativas mostraram que o volume de crédito ao setor privado no Brasil seria 43% superior ao observado caso houvesse uma melhoria de apenas meio desvio padrão nas medidas referentes às três variáveis independentes acima citadas. Fatores adicionais foram brevemente avaliados como o nível da taxa de juros real, o grau de participação nos fluxos internacionais de comércio e o nível de desenvolvimento. Esses fatores se mostraram também importantes e merecem estudos que os tenham como foco. Espera-se com este estudo contribuir para a compreensão do funcionamento do mercado de crédito e para a discussão a respeito de medidas e posturas que possam ser adotadas no Brasil e no mundo visando seu desenvolvimento, que se reflete no desenvolvimento das empresas e da sociedade. / The fact that the Brazilian economy has a low volume of credit available to the private sector, making it difficult for the companies to have access to loans which would able them to accept investment projects and could make them larger and more profitable companies, developing the business sector and the society, is the motivation of this work that reaches to evaluate the impact of three specific factors in the credit volume existing in one country to the private sector: (i) the level of the legal system efficiency; (ii) the economic instability level; and (iii) the total volume of savings accounts. Those factors importance are based on the literature review and it’s analysis, by the use of simple and multiple cross-section regressions involving (two hundred and seven) 207 countries, have confirmed in all of the specifications that as more efficient is its legal system, higher will be the volume of credit available in such country. The economic instability level and the total volume of savings accounts have showed also to be factors related to the credit volume, but not in all specifications and with a lower impact compared to the impact verified by the legal system. Estimations have showed that the credit volume to the private sector in Brazil would be 43% higher than the actual in case an improvement of only half standard deviation in the measures referred to the 3 independent variables above mentioned. Additional factors were also briefly evaluated, like the real interest rate level, the participation on the international trade flow and the development level. Such factors have also showed importance and do deserve studies of their own. It is a purpose of this study to contribute for the understanding of the credit market and its performance and for the discussion of measures and postures, which could be adopted in Brazil and in the world objecting its development that reflects on the companies and the society development.

In this study, neutral real interest rate gap and output gap are estimated jointly under two different multivariate unobserved components models with the motivation to provide empirical measures that can be used to analyze the amount of stimulus that monetary policy is passing on to the economy, and to understand historical macroeconomic developments. In the analyses, Kalman filter technique is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989-2005. In addition, two alternative specifications for neutral real interest rate are used in the analyses. The first model uses a random walk model for the neutral real interest rate, whereas the second one employs more structural specification, which specifically links the neutral real rate with the trend growth rate and the long-term course of the risk premium. Comparison of the models developed by using various performance criteria clearly indicates the use of more structural specification against random walk specification. Results suggest that though there is relatively high uncertainty surrounding the neutral real interest rate estimates to use them directly in the policy-making process, estimates appear to be very useful for ex-post monetary policy evaluations.

This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that real exchange rates are the adjusting variables for Italy, Switzerland, Belgium and Israel. Consistent with an endogenous response of domestic interest rates to a real exchange rate shock policy rule, real interest rate differentials are found to be endogenous for the parameters of the cointegration vector for Canada, Chile and Norway.

O fato de haver na economia brasileira um baixo volume de crédito ao setor privado, tornando mais difícil o acesso das empresas a financiamentos que lhes possibilitem aceitar projetos de investimentos que as faria maiores e mais lucrativas, desenvolvendo o setor empresarial e a sociedade como um todo, é a motivação deste trabalho que busca avaliar o impacto de três fatores específicos no nível de crédito ao setor privado existente em um país: (i) o nível de eficiência jurídica; (ii) o grau de instabilidade econômica; e (iii) o volume de poupança total. A importância de tais fatores é fundamentada na revisão da literatura e sua análise, através do uso de regressões simples e múltiplas do tipo cross-section envolvendo 207 países, confirmou em todas as especificações a hipótese de que quanto mais eficiente for o sistema jurídico de um país, maior será o volume de crédito nele disponível. O grau de instabilidade econômica e o nível de poupança se mostraram também fatores condicionantes do volume de crédito, mas não em todas as especificações e com um impacto menor ao verificado para o sistema jurídico. Estimativas mostraram que o volume de crédito ao setor privado no Brasil seria 43% superior ao observado caso houvesse uma melhoria de apenas meio desvio padrão nas medidas referentes às três variáveis independentes acima citadas. Fatores adicionais foram brevemente avaliados como o nível da taxa de juros real, o grau de participação nos fluxos internacionais de comércio e o nível de desenvolvimento. Esses fatores se mostraram também importantes e merecem estudos que os tenham como foco. Espera-se com este estudo contribuir para a compreensão do funcionamento do mercado de crédito e para a discussão a respeito de medidas e posturas que possam ser adotadas no Brasil e no mundo visando seu desenvolvimento, que se reflete no desenvolvimento das empresas e da sociedade. / The fact that the Brazilian economy has a low volume of credit available to the private sector, making it difficult for the companies to have access to loans which would able them to accept investment projects and could make them larger and more profitable companies, developing the business sector and the society, is the motivation of this work that reaches to evaluate the impact of three specific factors in the credit volume existing in one country to the private sector: (i) the level of the legal system efficiency; (ii) the economic instability level; and (iii) the total volume of savings accounts. Those factors importance are based on the literature review and it’s analysis, by the use of simple and multiple cross-section regressions involving (two hundred and seven) 207 countries, have confirmed in all of the specifications that as more efficient is its legal system, higher will be the volume of credit available in such country. The economic instability level and the total volume of savings accounts have showed also to be factors related to the credit volume, but not in all specifications and with a lower impact compared to the impact verified by the legal system. Estimations have showed that the credit volume to the private sector in Brazil would be 43% higher than the actual in case an improvement of only half standard deviation in the measures referred to the 3 independent variables above mentioned. Additional factors were also briefly evaluated, like the real interest rate level, the participation on the international trade flow and the development level. Such factors have also showed importance and do deserve studies of their own. It is a purpose of this study to contribute for the understanding of the credit market and its performance and for the discussion of measures and postures, which could be adopted in Brazil and in the world objecting its development that reflects on the companies and the society development.

In this paper, we have employed non-linear model reexamine real interest parity (RIP) of five European economies with respect to the US. We focus on using linear and nonlinear unit root tests to test real interest rate differentials (RIRD). And we add time trend in the logistic and exponential smooth transition regression models to monthly data. The results are as follows. First, the evidence for the full-sample is favorable using three traditional unit root tests and one powerful nonlinear unit root test. Almost all economics are support real interest parity. Second, we use nonlinear error correction model to find which factors influence on RIRD. There are three economics influenced by both domestic and foreign factors at the same time.

This paper uses the semi-structural Laubach and Williams model to estimate the time- varying natural rate of interest by Kalman filter and Maximum Likelihood method, applying it for the first time to Czech data. The results show a significant decrease of the natural interest rate during the past decade, which constitutes further evidence for the wide-spread notion that structural factors in many countries have shifted after the global financial crisis. The paper's contribution is mainly represented by preparing ground for further research. It concludes that the basic version of the Laubach and Williams model is not optimal for the Czech environment and suggests appropriate adjustments to it. It discusses and analyzes sources of potential problems with the estimation, notably the issues of singularity and model specification. Eventually the paper concludes that due to the low significance of results and the uncertainty of gains and losses related to a policy switch, the best reaction of the central bank would be to keep the current regime and inflation target. JEL Classification C32, E43, E52, O40 Keywords natural real interest rate, inflation target, inflation measurement, monetary policy, Kalman filter, trend growth Author's e-mail lucie.scheer@gmail.com Supervisor's e-mail tomas.holub@fsv.cuni.cz v

[pt] Eu desenvolvo um modelo de gerações sobrepostas com crescimento salarial ao longo do ciclo de vida (LCWP, por sua sigla em inglês), taxa de mortalidade dependente da idade, restrições de liquidez e rigidez nominal. O modelo é calibrado para capturar a transição demográfica dos EUA, estimativas de LCWP e outras características importantes da economia dos EUA durante o período 3;72-4239. O modelo é usado para examinar a relação entre dados demográficos e taxas de juros reais assim como os principais mecanismos de transmissão em jogo. Eu encontro que o rápido aumento da população em idade ativa entre 3;72 e 3;:2 contribuiu significativamente para o aumento das taxas de juros reais. A reversão desse processo, juntamente com o aumento da expectativa de vida, desencadeou um rápido declínio nas taxas de juros desde então. A heterogeneidade na propensão marginal a consumir entre os trabalhadores desempenha um papel importante na conexão desses movimentos de fertilidade e taxa de juros real. Num exercício adicional, devido à evidência de grandes erros de previsão da expectativa de vida, eu estendo o modelo com um processo de aprendizado sobre longevidade e encontro que ele pode aumentar significativamente a relevância de fatores demográficos na explicação dos movimentos reais das taxas de juros. Por fim, encontro que a falha dos bancos centrais em levar em conta a relação entre dados demográficos e taxas de juros pode gerar, devido a mudanças não monitoradas na taxa de juros natural, variações na taxa de inflação. / [en] I develop an overlapping generations model with life cycle wage profile (LCWP), age-dependent mortality rate, liquidity constraints, and nominal rigidities. The model is calibrated to capture US demographic transition, LCWP estimations, and other salient features of the US economy during 3;72-4239. The model is then used to examine the relationship between demographics and real interest rates and the main transmission mechanisms in play. I find that the rapid increase in the working age population from 3;72-3;:2s has significantly contributed to the rise of real interest rates. The reversion of this process together with the increase in life expectancy triggered a rapid decline in the interest rates ever since. The heterogeneity in the marginal propensity to consume among workers plays a major role in connecting these fertility and real interest rate movements. In an additional exercise, due to the evidence on large life expectancy forecast errors, I introduce a learning process about longevity and find that it can significantly a ugment t he r elevance o f d emographic f actors in explaining real interest rate movements. Finally, I find t hat t he central banks failure to recognize the relationship between demographics and interest rates can generate, due to unaccounted changes in the natural interest rate, inflation rate variations.

台灣幅員狹小，天然資源不足，唯有藉著大量出口才能換取外匯，情況使得台灣逐漸發展成一小型開放經濟。長久以來，美國一直是台灣最大的貿易夥伴，使得台灣產品對美輸出的多寡往往直接影響台灣總體經濟的表現。隨著政府外匯政策的逐漸自由化，匯率在總體經濟中所扮演的角色也越顯重要。近幾年來，台幣匯價在外匯市場上時有波動，不但影響政府政策的擬定、經貿活動的往來，外匯市場上的投炒作更造成熱錢的流動。是故，新台幣對美元匯率的決定及波動因素是值得我們深入探討的課題。基於此點，本文擬建立一個可供實証的小型開放經濟模型，試圖探討新台幣對美元匯率的決定因素。首先，參照Frankel(1979)所提出的實質利率差價模型(Real Interest Rate Differential Model)，作為實証研究的基礎。其次，利用Johansen(1988,1991)、Johansen & Juselius(1990)的共整合(cointegration)分析方法，以台灣地區1981年至1993年間的月資料，驗証縮減式的長期關係是否成立。最後，採用誤差修正模型(error correction model)，估計匯率的動態調整途徑，並對匯率變動率進行樣本後預測。 　　實証結果發現：(1)實質匯率差價模型所刻畫的匯率與其他經濟變數的長期關係在台灣是可以成立的；(2)傳統貨幣學派對兩國結構喜數相同的假設過於嚴苛，對於台灣及美國並不適用；(3)除了名目利率外，台灣及美國的貨幣供給、產出水準及通貨膨脹率具有一對一的關係；(4)以誤差修正模型預測台幣／美元匯率變動率，其效果優於隨機漫步模型。