国际清算银行-资本之谜（英）-2025.9-105页.pdf

BISWorkingPapers

No1288

Thecapitalpuzzle

byEduardoAmaral

MonetaryandEconomicDepartment

September2025

JELclassification:E43,E52,E58

Keywords:monetarypolicy,NewKeynesianModel,

naturalinterestrate

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ThispublicationisavailableontheBISwebsite().

©BankforInternationalSettlements2025.Allrightsreserved.Briefexcerptsmaybe

reproducedortranslatedprovidedthesourceisstated.

ISSN1020-0959(print)

ISSN1682-7678(online)

TheCapitalPuzzle

EduardoG.C.Amaral*a,b

aBancoCentraldoBrasil(BCB):eduardo.amaral@.br

bBankforInternationalSettlements(BIS):eduardo.amaral@

August27,2025

Abstract

Canacentralbanktightenmonetarypolicyandrealinterestratesfallundermone-

tarydominance?IntroducingendogenouscapitalintotheNewKeynesianmodelallows

realinterestratestomoveinanydirectionattheimpactofapositivepersistentmone-

tarypolicyshock.Thisraisesconcernsthattherealinterestratechannelisonlyobser-

vational—notstructural—inthesemodels.Thispaperdemonstratesthatthepuzzle

goesbeyondcapital.Itemergeswhentheelasticityofanendogenousstatevariableto

apersistentshockishighenoughtosinkinflationexpectations,inducingtheendoge-

nous(orsystemati