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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17891| Title: | Measuring Expected Inflation and the Ex-Ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions |
| Keywords: | E52 C32 ddc:330 Monetary policy stance Inflation expectations Structural vector autoregressive model Inflationserwartung Realzins Zins VAR-Modell Europäische Wirtschafts- und Währungsunion Monetärer Indikator Schäzung EU-Staaten |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | In this paper, the structural vector autoregression methodology is used to decompose the euro area nominal short-term interest rate into an expected inflation and an ex-ante real interest rate component. The latter may be a useful indicator of the monetary policy stance of the ECB. To this end, a vector autoregression model comprised of the differenced interest rate series and the stationary component of the real interest rate is estimated and shocks to expected inflation and the ex-ante real rate are identified using the long-run restriction that only shocks to expected inflation have long-run effects on the nominal interest rate. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17891 |
| Other Identifiers: | http://hdl.handle.net/10419/17891 ppn:333219910 |
| Appears in Collections: | EconStor |
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