Inflation and real short-term interest rates - A Kalman filter analysis of the term structure

Applied Economics

Volumn 33, Issue 7, 2001, Pages 855-861

  Chen, L H ^a  

^a CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INFLATION; INTEREST RATE; KALMAN FILTER; METHODOLOGY;

EID: 0034979118     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840122550     Document Type: Article

References (17)

1. High and volatile real interest rates
2. Inflation, real short-term interest rates, and the term structure of interest rates: A regime-switching approach
3. A model for ex ante real interest rates
4. Time-varying volatility and the dynamic behaviour of the term structure
5. Inflation, real returns and capital investment
6. Monetary policy shifts and long-term interest rates
7. Time variation in the relationship between inflation and interest rates
8. A new approach to linear filtering and prediction problems
9. New methods of wiener filtering theory
10. A model for ex ante real interests and derived inflation forecasts
11. Explaining the term structure of interest rates: A panel data approach
12. Short-term interest rates as predictors of inflation: On testing the hypothesis that the real rate of interest is constant
13. Inflation and real interest
14. Explaining the failures of the term spread models of the rational expectations hypothesis of the term structure
15. Money and economic growth