Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/87133 
Authors: 
Year of Publication: 
2007
Series/Report no.: 
Quaderni di Dipartimento - EPMQ No. 195
Publisher: 
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ), Pavia
Abstract: 
Using Treasury Bill nominal interest rates data for the sample period 1957Q1-2005Q1, we apply the structural VAR methodology developed by Blanchard and Quah (1989) to achieve twofold objective. First of all, we are interested to estimate the time-path of the unobservable variables that, according to the Fisherian theory of interest, determine fluctuations of the nominal interest rates, i.e. the expected inflation and the ex-ante real interest rate components. Secondly, we try to solve the puzzling evidence regarding the apparently nonstationarity of the real interest rates. After accounting for potential infrequent mean shifts in the ex-post real interest rate series, we impose valid long-run neutrality restriction to obtain Structural (identified) VAR and test the magnitude of the Fisher effect over the entire sample of analysis.
Document Type: 
Working Paper

Files in This Item:
File
Size
284.69 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.