In this paper, the structural vector autoregression methodology is used to decompose the euro area nominal short-term interest rate into an expected inflation and an ex-ante real interest rate component. The latter may be a useful indicator of the monetary policy stance of the ECB. To this end,...

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...

The Markov regime-switching modelling framework, with time-varying transition probabilities, is utilized to study the credibility of monetary policy in five member countries of the European Monetary System during the period 1979-98 (Austria, Belgium, France, Italy and the Netherlands). The...