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Econometric inflation targeting

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  • Gunnar Bardsen
  • Eilev S. Jansen
  • Ragnar Nymoen

Abstract

Models in the literature on inflation targeting are mostly theoretical or calibrated, even though inflation targeting requires inflation forecasts. The motivation for this paper is therefore threefold: foremost we want to build an econometric model for forecasting inflation in Norway--one economy recently opting for formal inflation targeting rather than a managed nominal exchange rate. Next, we want to quantify the relative importance of the different transmission mechanisms--with basis in empirical estimates rather than calibrated values. Finally, we want to focus on and exploit econometric issues required in the design and estimation of econometric models used for inflation forecasting and policy analysis. Copyright Royal Economic Society, 2003

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 6 (2003)
Issue (Month): 2 (December)
Pages: 430-461

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Handle: RePEc:ect:emjrnl:v:6:y:2003:i:2:p:430-461

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  1. Dag Kolsrud & Ragnar Nymoen, 1998. "Unemployment and the open economy wage-price spiral," Journal of Economic Studies, Emerald Group Publishing, vol. 25(6), pages 450-467, October.
  2. Svensson, Lars E. O., 2000. "Open-economy inflation targeting," Journal of International Economics, Elsevier, vol. 50(1), pages 155-183, February.
  3. Nicoletta Batini & Andrew G Haldane, 1999. "Forward-looking rules for monetary policy," Bank of England working papers 91, Bank of England.
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  8. �istein R�island & Ragnar Torvik, 2004. "Exchange rate versus inflation targeting: a theory of output fluctuations in traded and non-traded sectors," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 13(3), pages 265-285.
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  14. Rodseth,A. & Nymoen,R., 1999. "Nordic wage formation and unemployment seven years later," Memorandum 10/1999, Oslo University, Department of Economics.
  15. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
  16. Tor Jacobson & Per Jansson & Anders Vredin & Anders Warne, 2001. "Monetary policy analysis and inflation targeting in a small open economy: a VAR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 487-520.
  17. Jordi Galí & Mark Gertler, 1998. "Inflation dynamics: A structural econometric analysis," Economics Working Papers 341, Department of Economics and Business, Universitat Pompeu Fabra.
  18. Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-99, October.
  19. Qaisar Farooq Akram, 2000. "When Does the Oil Price Affect the Norwegian Exchange Rate?," Economics Series Working Papers 31, University of Oxford, Department of Economics.
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