Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology
Pierre St-Amant ()
Staff Working Papers from Bank of Canada
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.
Keywords: REGRESSION ANALYSIS; INTEREST RATE; FINANCIAL POLICY (search for similar items in EconPapers)
JEL-codes: C10 G10 E30 E31 (search for similar items in EconPapers)
Pages: 19 pages
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Working Paper: Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:96-2
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