 Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest RatesJournal of Advanced Research in Law and Economics, 2015, vol. 6, issue 4, 714-737 Abstract: Quantitative easing conducted by European central bank to fight persisting risks of deflation is drawing an attention of increasing number of empirical studies Moreover effectiveness of monetary policy at near zero inflation rates reveals lot of issues on whether interest rates really have a lower bound around zero percent As a result traditional views on the role of inflation expectations and expected real interest rates in the long term interest rates determination face the challenge of fundamental revision In the paper we analyze relative contributions of inflation expectations and expected real interest rates to long term interest rates on government bonds leading path as well as their responses to both types of shocks in the Euro Area member countries using SVAR methodology We also decompose long term interest rates into transitory and permanent components Our research revealed considerable differences in the role of inflation expectations and expected real interest rates shocks in determining long term interest rates between core and periphery countries of the Euro Area The crisis period even intensified this trend Date: 2015 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:srs:jarle0:v:6:y:2015:i:4:p:714-737 Access Statistics for this article Journal of Advanced Research in Law and Economics is currently edited by Madalina Constantinescu More articles in Journal of Advanced Research in Law and Economics from ASERS Publishing |
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