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Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky
[Inflation expectations and interest rates development in the Visegrad countries]

Author

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  • Mirdala, Rajmund

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.

Suggested Citation

  • Mirdala, Rajmund, 2009. "Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky [Inflation expectations and interest rates development in the Visegrad countries]," MPRA Paper 17059, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:17059
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    interest rates; inflation expectations; expected real interest rates; SVAR; variance decomposition; impulse-response function;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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