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Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky
[Inflation expectations and interest rates development in the Visegrad countries]

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  • Mirdala, Rajmund

Abstract

Market interest rates are usually determined not only by the inflation related determinants but also by the forces that affect real interest rates fluctuations. In point of fact the nominal interest rates are driven by many specific determinants so that it should not be clear the nominal interest rates fluctuations are given by the changes in inflation expectations or by the changes in the expected real interest rates. The correct identification of the nominal interest rates fluctuations is simply crucial for the monetary policy decision making. In the article we analyze the sources of the nominal interest rates fluctuations in the Visegrad countries in order to identify the impact of the inflation expectations and expected real interest rates on the interest rates of the interbank deposits with different maturity using structural vector autoregression (SVAR). From the estimated model we compose the variance decomposition and the impulse-response function of the interbank deposits interest rates with the maturity 1, 3 and 6 months.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17059.

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Date of creation: Mar 2009
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Handle: RePEc:pra:mprapa:17059

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Related research

Keywords: interest rates; inflation expectations; expected real interest rates; SVAR; variance decomposition; impulse-response function;

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  1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, American Economic Association, vol. 79(4), pages 655-73, September.
  2. Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers, Columbia - Graduate School of Business fb-_88-29, Columbia - Graduate School of Business.
  3. Christopher Ragan, 1995. "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Macroeconomics, EconWPA 9502003, EconWPA.
  4. Engsted, Tom, 1995. "Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 42-54, February.
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