المستودع الأكاديمي جامعة المدينة

Measuring Expected Inflation and the Ex-Ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions

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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


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