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Estimating a neutral real interest rate in Russia during inflation targeting

Author

Listed:
  • S. M. Drobyshevsky
  • P. V. Trunin
  • E. V. Sinelnikova-Muryleva
  • N. V. Makeeva
  • A. M. Grebenkina

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.

Suggested Citation

  • S. M. Drobyshevsky & P. V. Trunin & E. V. Sinelnikova-Muryleva & N. V. Makeeva & A. M. Grebenkina, 2021. "Estimating a neutral real interest rate in Russia during inflation targeting," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 9.
    • Handle: RePEc:nos:voprec:y:2021:id:3660
    DOI: 10.32609/0042-8736-2021-9-5-23
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