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The forecasting power of real interest rate gaps: an assessment for the Euro Area

[Zeitschriftenartikel]

Mésonnier, Jean-Stéphane

Zitationshinweis

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Abstract The real interest rate gap or IRG -the gap between the short term real interest rate and its “natural” level-, is a theoretical concept that has attracted much attention in central banks in recent years. This paper aims at clarifying its practical relevance for monetary policy in real time. For this purpose, it provides an empirical assessment of the usefulness of a semi-structural versus purely statistical estimates of the real IRG for predicting policy relevant macroeconomic variables in the euro area. However mixed, the results confirm that semi-structural estimates of the real IRG deserve being added to the central banks’ toolbox.
Klassifikation Wirtschaftspolitik
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 153-172
Zeitschriftentitel Applied Economics, 43 (2009) 2
DOI http://dx.doi.org/10.1080/00036840802481868
ISSN 1466-4283
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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