国际清算银行-资本之谜（英）

BIS Working PapersNo 1288 The capital puzzle by Eduardo Amaral Monetary and Economic Department September 2025 JEL classification: E43, E52, E58 Keywords: monetary policy, New Keynesian Model, natural interest rate BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) The Capital PuzzleEduardo G. C. Amaral*a,baBanco Central do Brasil (BCB): eduardo.amaral@bcb.gov.brbBank for International Settlements (BIS): eduardo.amaral@bis.orgAugust 27, 2025AbstractCan a central bank tighten monetary policy and real interest rates fall under mone-tary dominance? Introducing endogenous capital into the New Keynesian model allowsreal interest rates to move in any direction at the impact of a positive persistent mone-tary policy shock. This raises concerns that the real interest rate channel is only obser-vational — not structural — in these models. This paper demonstrates that the puzzlegoes beyond capital. It emerges when the elasticity of an endogenous state variable toa persistent shock is high enough to sink inflation expectations, inducing the endoge-nous (or systematic) component of the monetary policy rule to sufficiently offset itsexogenous component. The channel is indeed structural, but conventional definitionsof the natural interest rate (r-star) and real interest rate gap can be misleading, particu-larly following events that significantly disrupt investment, such as pandemics, financialcrises or trade wars. As an alternative sign-consistent gauge of the monetary policystance, I propose the real interest rate gap that neutralizes the effect of shocks on en-dogenous state variables. From 1965Q1 to 2023Q3, it was often a better predictor offuture inflation and helped telling the history of monetary policy in the United States.Keywords: Monetary Policy, New Keynesian Model, Natural Interest RateJEL Classification: E43; E52; E58.*The views in this paper are those of the author and do not necessarily reflect those of the BCB or the BIS. Aprevious version of this paper was released as Amaral (2024). I thank Carlos Viana de Carvalho, Eduardo Loyo,Ricardo Reis, André Minella, Diogo Guillén, Jon Frost, Ilhyock Shim, and two anonymous referees for theirvaluable comments, as well as Frank Smets, Raf Wouters and Johannes Pfeifer for providing helpful codes.I gratefully acknowledge the Economics Department of the London School of Economics for its hospitalityduring the 201