Economics at your fingertips  


Katharine Neiss () and Edward Nelson ()

Macroeconomic Dynamics, 2003, vol. 7, issue 2, 239-262

Abstract: A long-standing area of research and policy interest is the construction of a measure of monetary policy stance. One measure that has been proposed, as an alternative to indices that employ monetary aggregates or exchange rates, is the spread between the actual real interest rate and its flexible-price, or natural-rate, counterpart. We examine the properties of the natural real interest rate and real-interest-rate gap using a dynamic stochastic general equilibrium model. Issues we investigate include the response of the gap and its components to fundamental economic shocks and the indicator and forecasting properties of the real-interest-rate gap for inflation, both in the model and in the data. Our results suggest that the real-interest-rate gap has value as an inflation indicator, supporting a neo-Wicksellian framework.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (81) Track citations by RSS feed

Downloads: (external link) ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: The real interest rate gap as an inflation indicator (2001) Downloads
Working Paper: The Real Interest rate Gap as an Inflation Indicator (2001) Downloads
Working Paper: The Real Interest Rate Gap as an Inflation Indicator (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Macroeconomic Dynamics from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Page updated 2020-05-11
Handle: RePEc:cup:macdyn:v:7:y:2003:i:02:p:239-262_02