@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.