The time-varying policy neutral rate in real-time: A predictor for future inflation?

被引：12

作者：

Horvath, Roman ^{[1
]}

机构：

[1] Charles Univ Prague, Czech Natl Bank & Inst Econ Studies, CR-11636 Prague 1, Czech Republic

来源：

ECONOMIC MODELLING | 2009年 / 26卷 / 01期

关键词：

Policy neutral rate; Taylor rule; Time-varying parameter model with endogenous regressors; MONETARY-POLICY; NATURAL RATE; TRANSITION ECONOMIES; EXCHANGE-RATES; RULES; STOCK;

D O I：

10.1016/j.econmod.2008.05.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the 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 the policy neutral rate gradually decreased over the sample period to levels comparable to those in the euro area. Next, we propose a measure of the monetary policy stance based on the difference between the actual interest rate and the estimated policy neutral rate and find it a useful predictor of the level as well as the change of the future inflation rate. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：71 / 81

页数：11

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