HORVÁTH, Roman. Monetary Policy Stance and Future Inflation: The Case of Czech Republic. ACTA VŠFS, Praha: Vysoká škola finanční a správní, o.p.s., 2008, vol. 2008, No 1, p. 80-106. ISSN 1802-792X.
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Basic information
Original name Monetary Policy Stance and Future Inflation: The Case of Czech Republic
Name in Czech Měnová politika a budoucí inflace: Evidence pro Českou republiku
Authors HORVÁTH, Roman.
Edition ACTA VŠFS, Praha, Vysoká škola finanční a správní, o.p.s. 2008, 1802-792X.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Organization unit University of Finance and Administration
Keywords (in Czech) politicky neutrální úroková míra; Taylorovo pravidlo; model s časově proměnlivými parametry a endogenními regresory
Keywords in English policy neutral rate; Taylor rule; time-varying parameter model with endogenous regressors
Tags AR 2007/2008, recenzovaný časopis
Tags Reviewed
Changed by Changed by: Bc. Barbora Vandová, učo 25116. Changed: 25. 7. 2012 11:52.
Abstract
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.
Abstract (in Czech)
Tento článek analyzuje politicky neutrální („rovnovážnou“) úrokovou míru s tzv. daty v reálném čase v České republice od 2001:1 do 2006:09 na základě odhadů různých specifikací Taylorova pravidla. Aplikujeme strukturální model s časově proměnlivými parametry a s endogenními regresory, abychom vyhodnotili fluktuace politicky neutrální sazby v čase. Nalézáme, že politicky neutrální sazba v čase klesá na úroveň srovnatelnou se zeměmi eurozóny. Dále navrhujeme způsob měření nastavení měnové politiky založeném na rozdílu mezi skutečnou úrokovou mírou a námi odhadnutou politicky neutrální sazbou a nalézáme, že tímto způsobem jsme schopni dobře predikovat budoucí inflaci i budoucí změnu inflace.
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