Effects of adopting inflation targeting regimes on inflation variability
AbstractThis paper investigates whether inflation-targeting programs have altered the pattern of inflation and its variability for five developed countries and four emerging economies implementing inflation-targeting programs. A GARCH specification is used to model inflation variability, which accounts for public perception of the future levels of inflation variability—conditional variance. We could not find lower conditional inflation expectations except for Australia, Chile and Sweden under various specifications. Moreover, the conditional variance decreases only for Chile and the UK. Therefore, the empirical support for the lower inflation and its variability for the inflation targeting regimes is limited.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 375 (2007)
Issue (Month): 1 ()
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GARCH; Inflation targeting and inflation variability;
Other versions of this item:
- Hakan Berument & Ebru Yuksel, 2007. "Effects of Adopting Inflation Targeting Regimes on Inflation Variability," Departmental Working Papers, Bilkent University, Department of Economics 0702, Bilkent University, Department of Economics.
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