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Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology

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Author Info

  • St-Amant, P.

Abstract

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.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-2.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 96-2.

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Length: 19 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bca:bocawp:96-2

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Related research

Keywords: REGRESSION ANALYSIS; INTEREST RATE; FINANCIAL POLICY;

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References

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  1. Christopher Ragan, 1995. "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Macroeconomics, EconWPA 9502003, EconWPA.
  2. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
  3. Danny Quah & Shaun Vahey, 1995. "Measuring Core Inflation," Bank of England working papers 31, Bank of England.
  4. Frederic S. Mishkin & John Simon, 1995. "An Empirical Examination of the Fisher Effect in Australia," NBER Working Papers 5080, National Bureau of Economic Research, Inc.
  5. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 933, Cowles Foundation for Research in Economics, Yale University.
  6. Olivier J. Blanchard & Mark W. Watson, 1987. "Are Business Cycles All Alike?," NBER Working Papers 1392, National Bureau of Economic Research, Inc.
  7. Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics, EconWPA 9504003, EconWPA.
  8. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
  9. George Evans & Lucrezia Reichlin, 1994. "Information, forecasts and measurement of the business cycle," ULB Institutional Repository 2013/10155, ULB -- Universite Libre de Bruxelles.
  10. Watson, Mark W., 1986. "Vector autoregressions and cointegration," Handbook of Econometrics, Elsevier, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 47, pages 2843-2915 Elsevier.
  11. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," NBER Working Papers 2589, National Bureau of Economic Research, Inc.
  12. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8633, Universite de Montreal, Departement de sciences economiques.
  13. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  14. Gamber, Edward N & Joutz, Frederick L, 1993. "The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment," American Economic Review, American Economic Association, vol. 83(5), pages 1387-93, December.
  15. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 5-17, January.
  16. Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics, EconWPA 9601001, EconWPA.
  17. Alain DeSerres, & Alain Guay & Pierre St-Amant, . "Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy," Working Papers, Bank of Canada 95-2, Bank of Canada.
  18. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 880, Cowles Foundation for Research in Economics, Yale University.
  19. Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology," Macroeconomics, EconWPA 9602004, EconWPA.
  20. Alain DeSerres & Alain Guay, 1995. "Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions," Econometrics, EconWPA 9510001, EconWPA.
  21. Lippi, Marco & Reichlin, Lucrezia, 1993. "The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment," American Economic Review, American Economic Association, vol. 83(3), pages 644-52, June.
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Citations

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Cited by:
  1. Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology," Macroeconomics, EconWPA 9602004, EconWPA.
  2. Van Norden, S. & Vigfusson, R., 1996. "Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures," Working Papers, Bank of Canada 96-3, Bank of Canada.
  3. Jan Gottschalk, 2001. "Measuring Expected Inflation and the Ex-Ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions," Kiel Working Papers 1067, Kiel Institute for the World Economy.
  4. Hugo Oliveros, . "Expectativas: Una Aproximación a Través de Modelos de Escogencia Discreta," Borradores de Economia 137, Banco de la Republica de Colombia.
  5. Dopke, Jorg & Fritsche, Ulrich, 2006. "When do forecasters disagree? An assessment of German growth and inflation forecast dispersion," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(1), pages 125-135.
  6. Hugo Oliveros C., 1999. "Expectativas:Una Aproximación A Través De Modelos De Escogencia Discreta," BORRADORES DE ECONOMIA 002697, BANCO DE LA REPÚBLICA.
  7. Ulrich Fritsche & Jörg Döpke, 2005. "Forecast Errors and the Macroeconomy: A Non-Linear Relationship?," Discussion Papers of DIW Berlin 498, DIW Berlin, German Institute for Economic Research.

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