The Impact of the Regime-Shift Premium on Forward Interest Rates and Inflation Expectations in the Czech Republic (in Czech)
AbstractThe article analyzes the factors leading to the fall of forward interest rates in the Czech Republic between 1999 and 2003. A key point in this regard is the existence of a term and a regime-shift premium associated with the country’s anticipated entry into the eurozone. The paper suggests that the shift into a credible low inflation regime, accompanied by a decreased regime-shift premium, may have affected Czech forward rates. Inflation expectations are subject to regime shifts and cyclical economic development, and to expectations of lower central-bank inflation targets.
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Bibliographic InfoArticle provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.
Volume (Year): 54 (2004)
Issue (Month): 5-6 (May)
regime shift; term premium; credibility; inflation expectation; FRA;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- O23 - Economic Development, Technological Change, and Growth - - Development Planning and Policy - - - Fiscal and Monetary Policy in Development
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