E43 - Interest Rates: Determination, Term Structure, and Effects - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T09:53:32+00:00Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology
https://www.bankofcanada.ca/1996/01/working-paper-1996-2/
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.1996-01-02T14:42:46+00:00enDecomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology1996-01-02Interest ratesInternational topicsWorking Paper 1996-2 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-2.pdfDecomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR MethodologyPierre St-AmantJanuary 1996EE3E31E4E43