Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17891
Authors: 
Gottschalk, Jan
Year of Publication: 
2001
Series/Report no.: 
Kiel Working Paper 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

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