Advanced Search
MyIDEAS: Login

Inflation Volatility and Forecast Accuracy

Contents:

Author Info

  • Jamie Hall
  • Jarkko P. Jääskelä

Abstract

This paper examines the statistical properties of inflation in a sample of inflation-targeting and non-inflation-targeting countries. First, it analyses the time-varying volatility of a measure of the persistent component of inflation. Based on this measure, inflation-targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) have experienced a relatively more pronounced fall in the volatility of inflation than non-inflation-targeting countries (Austria, France, Germany, Japan and the United States). But it is hard to say whether inflation is more volatile in inflation-targeting or non-inflation-targeting countries. Second, it analyses whether inflation became easier to forecast after the introduction of inflation targeting. It finds that inflation became easier to forecast in both inflation-targeting and non-inflation-targeting countries; the improvement was greater for the former group but forecast errors remain smaller for the latter group.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1111/j.1467-8462.2011.00656.x
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by The University of Melbourne, Melbourne Institute of Applied Economic and Social Research in its journal Australian Economic Review.

Volume (Year): 44 (2011)
Issue (Month): 4 (December)
Pages: 404-417

as in new window
Handle: RePEc:bla:ausecr:v:44:y:2011:i:4:p:404-417

Contact details of provider:
Postal: The University of Melbourne, Victoria 3010
Phone: +61 3 8344 2100
Fax: +61 3 8344 2111
Email:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-9018
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0004-9018

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ivan Roberts, 2005. "Underlying Inflation: Concepts, Measurement and Performance," RBA Research Discussion Papers rdp2005-05, Reserve Bank of Australia.
  2. Franck Sédillot & Hervé Le Bihan, 2002. "Implementing and interpreting indicators of core inflation: the case of France," Empirical Economics, Springer, vol. 27(3), pages 473-497.
  3. James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
  4. Kuttner, Kenneth N., 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," Working Papers 52, Oesterreichische Nationalbank (Austrian Central Bank).
  5. Georgios Chortareas & David Stasavage & Gabriel Sterne, 2002. "Does it pay to be transparent? international evidence form central bank forecasts," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 99-118.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Kitov, Ivan & Kitov, Oleg, 2011. "The Australian Phillips curve and more," MPRA Paper 28762, University Library of Munich, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:ausecr:v:44:y:2011:i:4:p:404-417. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.