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Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries

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  • Bank for International Settlements
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    Abstract

    The papers on the following pages were presented and discussed at a workshop on "Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries", held at the BIS on 15-16 January 2001. It was the first time that the BIS had arranged a meeting of this kind and twelve central banks from emerging market countries had accepted to participate in the workshop with papers or as discussants. Four papers by the BIS staff are also included in this volume. The workshop had three sessions on specific modelling aspects, with the first focusing on modelling the inflation process in emerging market countries; the second on estimating the impact of asset prices and the pass-through of exchange rate movements; and a third devoted to modelling the transmission mechanism. In a final session, participants discussed policy implications and areas of future work. Four main conclusions emerged from the papers and the discussion. First, lack of reliable data or of data series with sufficient length often force researchers to rely on small models rather than large, fully specified macro-models. Second, in virtually all countries, a major problem is finding a robust link between the output gap and the rate of inflation. Third, several papers found a marked decline in the pass-through of exchange rate changes into domestic prices, though some uncertainty remains as to the sustainability of the change. Fourth, several papers also found a surprisingly large influence of administered prices on overall inflation, raising concerns over the ability of central banks to tightly control inflation.

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    Bibliographic Info

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    This book is provided by Bank for International Settlements in its series BIS Papers with number 08 and published in 2001.

    ISBN: 92-9131-629-6
    Handle: RePEc:bis:bisbps:08

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    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.:
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    1. Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998. "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics 9812, Faculty of Economics, University of Cambridge.
    2. Dave Turner & Pete Richardson & Sylvie Rauffet, 1996. "Modelling the Supply Side of the Seven Major OECD Economies," OECD Economics Department Working Papers 167, OECD Publishing.
    3. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 1999. "Econometric Inflation Targeting," Working Paper Series 0502, Department of Economics, Norwegian University of Science and Technology, revised 30 Oct 2001.
    4. Carlin, Wendy & Soskice, David, 1990. "Macroeconomics and the Wage Bargain: A Modern Approach to Employment, Inflation, and the Exchange Rate," OUP Catalogue, Oxford University Press, number 9780198772446, September.
    5. Claude Giorno & Pete Richardson & Deborah Roseveare & Paul van den Noord, 1995. "Estimating Potential Output, Output Gaps and Structural Budget Balances," OECD Economics Department Working Papers 152, OECD Publishing.
    6. Layard, Richard & Nickell, Stephen & Jackman, Richard, 2005. "Unemployment: Macroeconomic Performance and the Labour Market," OUP Catalogue, Oxford University Press, number 9780199279173, September.
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    Cited by:
    1. Claudio Borio & William English & Andrew Filardo, 2003. "A tale of two perspectives: old or new challenges for monetary policy?," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 1-59 Bank for International Settlements.
    2. Stefan Gerlach & Matthew S. Yiu, 2002. "Unobservable-Component Estimates of Output Gaps in Five Asian Economies," Working Papers 052002, Hong Kong Institute for Monetary Research.

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