Time Series Analysis of Inflation Targeting in Selected Countries
AbstractWe analyze a set of countries which adopted inflation targeting (IT) as a policy tool. We model the pre-IT period with ARMA and GARCH methods, and conduct the one-step ahead forecasting for the remainder of the times series data. The actual and forecasted inflation levels are compared for each country. We find that even though the actual inflation levels are lower than the forecasted ones, there is no statistical evidence to suggest that the adoption of IT causes a structural break in the inflation levels of the countries which adopt IT.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Journal of Economic Policy Reform.
Volume (Year): 10 (2007)
Issue (Month): 1 ()
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Other versions of this item:
- Ismail Genc & Minsoo Lee & Candelaria Rodriguez & Zachary Lutz, 2007. "Time Series Analysis of Inflation Targeting in Selected Countries," Journal of Policy Reform, Taylor and Francis Journals, vol. 10(1), pages 15-27.
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- Ftiti, Zied, 2010. "The macroeconomic performance of the inflation targeting policy: An approach based on the evolutionary co-spectral analysis (extension for the case of a multivariate process)," Economic Modelling, Elsevier, vol. 27(1), pages 468-476, January.
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