Decomposing U.S. nominal interest rates into expected inflation and ex ante real interest rates using structural VAR methodology / by Pierre St-Amant. : FB3-2/96-2E
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
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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Decomposing U.S. nominal interest rates into expected inflation and ex ante real interest rates using structural VAR methodology / by Pierre St-Amant. |
| Titre de la série | Working paper1192-543496-2 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[Anglais] |
| Note(s) | "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. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 1996. |
| Reliure | Softcover |
| Description | iii, 19p. : graphs, tables ; 28 cm. |
| ISBN | 0-662-24127-4 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Descripteurs | Interest rates |