00000nam##2200000za#4500 9.612827 CaOODSP 20211126112846 ta 150406|1996||||xxc||||| f|0| 0 eng|d 0-662-24127-4 1192-5434 CaOODSP eng n-cn--- FB3-2/96-2E Bank of Canada. Decomposing U.S. nominal interest rates into expected inflation and ex ante real interest rates using structural VAR methodology / by Pierre St-Amant. Ottawa - Ontario : Bank of Canada 1996. iii, 19p. : graphs, tables ; 28 cm. Working paper 1192-5434 96-2 "In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run -- they are cointegrated (1,1) -- and that the real interest rate is stationary."--Abstract. Bibliography. In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run -- they are cointegrated (1,1) -- and that the real interest rate is stationary.--Abstract Résumés en français Softcover 96-07 1996-02-16 Interest rates gcpds St-Amant, Pierre Decomposing U.S. nominal interest rates into expected inflation and ex ante real interest rates using structural VAR methodology / (CaOODSP)9.571649 Working paper, 1192-5434 96-2 (CaOODSP)9.514622