| dc.creator |
Gottschalk, Jan |
|
| dc.date |
2001 |
|
| dc.date.accessioned |
2013-10-16T06:57:13Z |
|
| dc.date.available |
2013-10-16T06:57:13Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/17891 |
|
| dc.identifier |
ppn:333219910 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/17891 |
|
| dc.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. |
|
| dc.language |
eng |
|
| dc.publisher |
Kiel Institute for the World Economy (IfW) Kiel |
|
| dc.relation |
Kieler Arbeitspapiere 1067 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
E52 |
|
| dc.subject |
C32 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Monetary policy stance |
|
| dc.subject |
Inflation expectations |
|
| dc.subject |
Structural vector autoregressive model |
|
| dc.subject |
Inflationserwartung |
|
| dc.subject |
Realzins |
|
| dc.subject |
Zins |
|
| dc.subject |
VAR-Modell |
|
| dc.subject |
Europäische Wirtschafts- und Währungsunion |
|
| dc.subject |
Monetärer Indikator |
|
| dc.subject |
Schäzung |
|
| dc.subject |
EU-Staaten |
|
| dc.title |
Measuring Expected Inflation and the Ex-Ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions |
|
| dc.type |
doc-type:workingPaper |
|
| dc.coverage |
1980-2000 |
|