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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

Abstract: 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
Date: 1996
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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) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:96-2

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