У цій роботі розраховано нейтральну відсоткову ставку в Україні шляхом застосування фільтру Калмана до напівструктурної моделі з неспостережуваними складовими. За основу взято середньострокову концепцію нейтральної відсоткової ставки, згідно з якою це реальна відсоткова ставка, що відповідає стану економіки, в якому ВВП знаходиться на потенційному рівні, а інфляція – на цільовому після вичерпання усіх циклічних шоків. Згідно з цією концепцією і з урахуванням того, що Україна є малою відкритою економікою, нейтральна відсоткова ставка визначається вартістю капіталу у глобальній економіці і внутрішніми довгостроковими факторами, що впливають на премію за ризик і зміну реального обмінного курсу. Базуючись на довгострокових прогнозах щодо ВВП, демографічних тенденцій, коливань реального обмінного курсу та премії за ризик, очікується поступове зниження нейтральної відсоткової ставки з 2.5% на початок 2018 року до 2% в реальному вираженні, або до 7% в номінальному, за 5% інфляційної цілі. Однак у найближчі роки розрив між обліковою ставкою Національного банку України й нейтральною ставкою має залишатися додатним, відображаючи жорсткі монетарні умови, необхідні для забезпечення стійкої дезінфляції.
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