Publication
Jul 2001
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.
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English (PDF, 18 pages, 250 KB) |
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Author | Jan Gottschalk |
Series | Kiel Institute Working Papers |
Issue | 1067 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2001 Kiel Institute for the World Economy |