Monetary Policy Stance and Future Inflation: The Case of Czech Republic
This paper examines time-varying policy neutral interest rate in real time for the Czech Republic in 2001:1-2006:09 estimating various specifications of simple Taylor-type monetary policy rules. For this reason, we apply a structural time-varying parameter model with endogenous regressors. The results indicate that policy neutral rate gradually decreased over sample period to the levels comparable to those of in the euro area. Next, we propose a measure of monetary policy stance based on a difference between the actual interest rate and estimated policy neutral rate and find it a useful predictor of the level as well as change of future inflation rate.
Volume (Year): 2 (2008)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
Phone: (+420) 210 088 800
Fax: (+420) 271 741 597
Web page: http://www.vsfs.cz/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Boris Hofmann, 2001. "The determinants of private sector credit in industrialised countries: do property prices matter?," BIS Working Papers 108, Bank for International Settlements.
- John G. Cragg & Russell S. Uhler, 1970. "The Demand for Automobiles," Canadian Journal of Economics, Canadian Economics Association, vol. 3(3), pages 386-406, August.
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation,
Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:prf:journl:v:2:y:2008:i:1:p:80-106. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Hakenova)
If references are entirely missing, you can add them using this form.