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Institut für Weltwirtschaft (IfW), Kiel >
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http://hdl.handle.net/10419/17891
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| Title: | | Measuring Expected Inflation and the Ex-Ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions  |
| Authors: | | Gottschalk, Jan |
| Issue Date: | | 2001 |
| Series/Report no.: | | Kieler Arbeitspapiere 1067 |
| Abstract: | | 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. |
| Subjects: | | Monetary policy stance Inflation expectations Structural vector autoregressive model |
| JEL: | | E52 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
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