Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky

Inflation expectations and interest rates development in the Visegrad countries

Rajmund Mirdala (rajmund.mirdala@tuke.sk)

MPRA Paper from University Library of Munich, Germany

Abstract: Market interest rates are usually determined not only by the inflation related determinants but also by the forces that affect real interest rates fluctuations. In point of fact the nominal interest rates are driven by many specific determinants so that it should not be clear the nominal interest rates fluctuations are given by the changes in inflation expectations or by the changes in the expected real interest rates. The correct identification of the nominal interest rates fluctuations is simply crucial for the monetary policy decision making. In the article we analyze the sources of the nominal interest rates fluctuations in the Visegrad countries in order to identify the impact of the inflation expectations and expected real interest rates on the interest rates of the interbank deposits with different maturity using structural vector autoregression (SVAR). From the estimated model we compose the variance decomposition and the impulse-response function of the interbank deposits interest rates with the maturity 1, 3 and 6 months.

Keywords: interest rates; inflation expectations; expected real interest rates; SVAR; variance decomposition; impulse-response function (search for similar items in EconPapers)
JEL-codes: C32 E31 E43 (search for similar items in EconPapers)
Date: 2009-03
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Published in Acta Academica Karviniensia 1 (2009): pp. 141-154

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