00000nam##2200000za#4500 9.571649 CaOODSP 20211126112844 cr ||||||||||| 150406|1996||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/96-2E-PDF Bank of Canada. Decomposing U.S. nominal interest rates into expected inflation and ex ante real interest rates using structural VAR methodology / [electronic resource] by Pierre St-Amant. Ottawa - Ontario : Bank of Canada January 1996. 28p. graphs, tables Bank of Canada working paper 1701-9397 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. The ISBN (0-662-24127-4) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. 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 Résumé en français. 11-19-Supp 2011-09-23 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)9.612827 Working paper (Bank of Canada) 1701-9397 96-2 (CaOODSP)9.504604 http://publications.gc.ca PDF 272 KB https://publications.gc.ca/collections/Collection/FB3-2-96-2E.pdf 96-2