Other formats:
BibTeX
LaTeX
RIS
@article{3182, author = {Horváth, Roman}, article_location = {Praha}, article_number = {1}, keywords = {policy neutral rate; Taylor rule; time-varying parameter model with endogenous regressors}, language = {eng}, issn = {1802-792X}, journal = {ACTA VŠFS}, title = {Monetary Policy Stance and Future Inflation: The Case of Czech Republic}, volume = {2008}, year = {2008} }
TY - JOUR ID - 3182 AU - Horváth, Roman PY - 2008 TI - Monetary Policy Stance and Future Inflation: The Case of Czech Republic JF - ACTA VŠFS VL - 2008 IS - 1 SP - 80-106 EP - 80-106 PB - Vysoká škola finanční a správní, o.p.s. SN - 1802792X KW - policy neutral rate KW - Taylor rule KW - time-varying parameter model with endogenous regressors N2 - This paper examines time-varying policy neutral interest rate in real time for the Czech Republic in 2001:1-2006:09 estimating various specifications of simple Taylor-type monetary policy rules. For this reason, we apply a structural time-varying parameter model with endogenous regressors. The results indicate that policy neutral rate gradually decreased over sample period to the levels comparable to those of in the euro area. Next, we propose a measure of monetary policy stance based on a difference between the actual interest rate and estimated policy neutral rate and find it a useful predictor of the level as well as change of future inflation rate. ER -
HORVÁTH, Roman. Monetary Policy Stance and Future Inflation: The Case of Czech Republic. \textit{ACTA VŠFS}. Praha: Vysoká škola finanční a správní, o.p.s., 2008, vol.~2008, No~1, p.~80-106. ISSN~1802-792X.
|