Tracking Brazil's Real Neutral Rate: A Multi-Block Ensemble Framework Combining Statistical Trends, Market Prices, and State-Space Models (opens in new tab)

This paper presents an implementable framework for tracking Brazil's real neutral-rate proxy, using a block-based ensemble of complementary models. The project begins with daily macro-financial data, converts the series to monthly frequency, computes an ex-ante real Selic rate through the Fisher equation, builds activity-cycle measures from IBC-Br, and then combines five methodological blocks: simple moving averages, statistical trend filters, m...