The Impact of the Regime-Shift Premium on Forward Interest Rates and Inflation Expectations in the Czech Republic (in Czech)
Holinka, Tomáš; Stiller, Vladimír
Year: 2004 Volume: 54 Issue: 5 -6 Pages: 190-201
Abstract: The article analyzes the factors leading to the fall of forward interest rates in the Czech Republic between 1999 and 2003. A key point in this regard is the existence of a term and a regime-shift premium associated with the country’s anticipated entry into the eurozone. The paper suggests that the shift into a credible low inflation regime, accompanied by a decreased regime-shift premium, may have affected Czech forward rates. Inflation expectations are subject to regime shifts and cyclical economic development, and to expectations of lower central-bank inflation targets.
JEL classification: E43, E42, O23
Keywords: regime shift, term premium, credibility, inflation expectation, FRA
RePEc: n/a
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