The determination of the natural rate of interest: does the total factor productivity matter?

The determination of the natural rate of interest: does the total factor productivity matter? | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Article The determination of the natural rate of interest: does the total factor productivity matter? Ricardo Ramalhete Moreira This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-8790550/v1 This work is licensed under a CC BY 4.0 License Status: Under Review Version 1 posted 12 You are reading this latest preprint version Abstract The joint dynamics of the natural rate of interest and total factor productivity (TFP) constitute a key structural determinant with significant economic relevance for households and firms, as well as for policy decision-making – particularly by central bank authorities. The hypothesis that increases in TFP are associated with declines in the natural rate of interest is tested and supported using time-series data for the Brazilian economy over the period from February 2003 to December 2022. The natural rate of interest is estimated through a parsimonious model employing the Kalman filter, while TFP is measured using growth accounting techniques. Incorporating additional control variables and cointegration methods (VEC and augmented ARDL, Sam et al., 2019), the empirical evidence suggests that Brazil’s natural rate of interest is negatively affected by long-run changes in TFP, and positively influenced by the trend GDP growth rate, the sovereign risk premium, and - less robustly - by U.S. real interest rates. Besides, a quantile approach identified changes in the elasticities over the natural rate of interest’s distribution. JEL.: E43; F43; O47. Earth and environmental sciences/Environmental social sciences Physical sciences/Mathematics and computing natural rate of interest TFP VEC ARDL Quantile regression Brazil Full Text Additional Declarations No competing interests reported. Supplementary Files naturalrateinbrazil2023.wf1 Cite Share Download PDF Status: Under Review Version 1 posted Reviews received at journal 10 May, 2026 Reviewers agreed at journal 09 May, 2026 Reviewers agreed at journal 09 May, 2026 Reviewers agreed at journal 06 May, 2026 Reviewers agreed at journal 06 May, 2026 Reviews received at journal 08 Apr, 2026 Reviewers agreed at journal 27 Feb, 2026 Reviewers invited by journal 26 Feb, 2026 Editor assigned by journal 26 Feb, 2026 Editor invited by journal 25 Feb, 2026 Submission checks completed at journal 20 Feb, 2026 First submitted to journal 20 Feb, 2026 You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. 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Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-8790550","acceptedTermsAndConditions":true,"allowDirectSubmit":false,"archivedVersions":[],"articleType":"Article","associatedPublications":[],"authors":[{"id":599042114,"identity":"728da209-7973-4d8f-9c52-6d7e098fe8af","order_by":0,"name":"Ricardo Ramalhete Moreira","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA8UlEQVRIiWNgGAWjYDACZhDBBuUkMDDIMTAfYGBgbCBBizEDWwIBLQzIWoAgsYGQFvN25oefK8psGHTbex8+eLjHLn3DMebDHxh33MOpReYwm7HkmXNpDGZnjhsbJDxLzt1wjC1NgvFMMU4tEsw8DJKNbYcZzG6ksUkkHGDO3XC/x4yBsS0Bnxbmn1At7D8SDtSnGxzj//yBgBY2uC0MCQcOJxgc42GQwK+Fzcyy4Vwaj9mZY8xAhx03nHmMzUwi8QweLfyHH99sKLORMzvexvjxx4Fqeb5jzI8/fNyBWwsM8KByCWsYBaNgFIyCUYAPAAD1iVBeDFelOgAAAABJRU5ErkJggg==","orcid":"","institution":"Universidade Federal do Espírito Santo, Brazil","correspondingAuthor":true,"prefix":"","firstName":"Ricardo","middleName":"Ramalhete","lastName":"Moreira","suffix":""}],"badges":[],"createdAt":"2026-02-04 22:23:21","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-8790550/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-8790550/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":104400875,"identity":"d0180de0-9396-4ce1-a4b2-57f6e40dbd58","added_by":"auto","created_at":"2026-03-11 12:11:18","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":958597,"visible":true,"origin":"","legend":"","description":"","filename":"2026RRMnaturalrateofinterestandTFP1.pdf","url":"https://assets-eu.researchsquare.com/files/rs-8790550/v1_covered_7e9dec50-2af4-42c9-a6e1-1e1d4c1abdb6.pdf"},{"id":103808657,"identity":"3e2d99f6-e1dd-4491-8d24-fee9349ca9a3","added_by":"auto","created_at":"2026-03-03 07:50:03","extension":"wf1","order_by":0,"title":"","display":"","copyAsset":false,"role":"supplement","size":295223,"visible":true,"origin":"","legend":"","description":"","filename":"naturalrateinbrazil2023.wf1","url":"https://assets-eu.researchsquare.com/files/rs-8790550/v1/e8fe7b46df850070a7953403.wf1"}],"financialInterests":"No competing interests reported.","formattedTitle":"The determination of the natural rate of interest: does the total factor productivity matter?","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":false,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"humanities-and-social-sciences-communications","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":false,"externalIdentity":"palcomms","sideBox":"Learn more about [Humanities \u0026 Social Sciences Communications](http://www.nature.com/palcomms/)","snPcode":"41599","submissionUrl":"https://submission.springernature.com/new-submission/41599/3","title":"Humanities and Social Sciences Communications","twitterHandle":"","acdcEnabled":true,"dfaEnabled":true,"editorialSystem":"stoa","reportingPortfolio":"Nature AJ","inReviewEnabled":true,"inReviewRevisionsEnabled":false},"keywords":"natural rate of interest, TFP, VEC, ARDL, Quantile regression, Brazil","lastPublishedDoi":"10.21203/rs.3.rs-8790550/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-8790550/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eThe joint dynamics of the natural rate of interest and total factor productivity (TFP) constitute a key structural determinant with significant economic relevance for households and firms, as well as for policy decision-making – particularly by central bank authorities. 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