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Résultats empiriques multi-pays relatifs à l'impact des cibles d'inflation sur la crédibilité de la politique monétaire

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Author Info
St-Amant, Pierre
Tessier, David

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Abstract

Over the last few years, many countries have adopted inflation targets. The objective of this paper is to report some empirical results that bear on the link between the adoption of inflation targets and the behaviour of the main macroeconomic variables. After a discussion of some recent articles analyzing international experience, some simple statistical tests are presented for determining the link between the adoption of inflation targets, the credibility of monetary policy, and the behaviour of the major macroeconomic variables. The literature survey and empirical results lead the authors to conclude that certain statistical properties of inflation may have changed in recent years, and that monetary policy seems to have become more credible in a number of countries, including Canada. Yet the available data do not allow the authors to conclude with any certainty that explicit inflation targets have played a significant role in these changes.

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File URL: http://www.bankofcanada.ca/en/res/wp/1998/wp98-23.pdf
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Paper provided by Bank of Canada in its series Working Papers with number 98-23.

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Length: 37 pages
Date of creation: 1998
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Handle: RePEc:bca:bocawp:98-23

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Keywords: Inflation targets;

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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.:
  1. Francisco Javier Ruge-Murcia, 2001. "Inflation Targeting Under Asymmetric Preferences," IMF Working Papers 01/161, International Monetary Fund. [Downloadable!]
    Other versions:
  2. Amano, Robert & Coletti, Don & Macklem, Tiff, 1999. "Monetary Rules When Economic Behaviour Changes," Working Papers 99-8, Bank of Canada. [Downloadable!]
    Other versions:
  3. Jeffrey C. Fuhrer, 1997. "Central bank independence and inflation targeting: monetary policy paradigms for the next millenium?," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 19-36. [Downloadable!]
  4. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250. [Downloadable!] (restricted)
  5. Chan Huh, 1996. "Some evidence on the efficacy of the UK inflation targeting regime: an out-of-sample forecast approach," International Finance Discussion Papers 565, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56. [Downloadable!] (restricted)
    Other versions:
  7. Ruge-Murcia, F.J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  8. Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," NBER Working Papers 5893, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Guy Debelle, 1996. "The Ends of Three Small Inflations: Australia, New Zealand and Canada," Canadian Public Policy, University of Toronto Press, vol. 22(1), pages 56-78, March. [Downloadable!] (restricted)
  10. Yamada, Hiroshi & Toda, Hiro Y., 1998. "Inference in possibly integrated vector autoregressive models: some finite sample evidence," Journal of Econometrics, Elsevier, vol. 86(1), pages 55-95, June. [Downloadable!] (restricted)
  11. Thomas Laubach & Adam S. Posen, 1997. "Disciplined discretion: the German and Swiss monetary targeting frameworks in operation," Research Paper 9707, Federal Reserve Bank of New York. [Downloadable!]
  12. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  13. Rich, Georg, 1997. "Monetary targets as a policy rule: Lessons from the Swiss experience," Journal of Monetary Economics, Elsevier, vol. 39(1), pages 113-141, June. [Downloadable!] (restricted)
  14. Perrier, Patrick, 1998. "Un examen de la crédibilité de la politique monétaire au Canada," Working Papers 98-12, Bank of Canada. [Downloadable!]
  15. Guy Debelle & Glenn Stevens, 1995. "Monetary Policy Goals for Inflation in Australia," RBA Research Discussion Papers rdp9503, Reserve Bank of Australia. [Downloadable!]
  16. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, vol. 41(6), pages 1111-1146, June. [Downloadable!] (restricted)
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  17. Svensson, Lars E. O., 1999. "Inflation targeting as a monetary policy rule," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 607-654, June. [Downloadable!] (restricted)
    Other versions:
  18. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality: A Theoretical Overview and Simulation Study," Cowles Foundation Discussion Papers 1001, Cowles Foundation, Yale University. [Downloadable!]
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  19. Stephen G. Cecchetti, 1996. "Inflation Indicators and Inflation Policy," NBER Working Papers 5161, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  20. Frederic S. Mishkin & Adam S. Posen, 1997. "Inflation targeting: lessons from four countries," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 9-110. [Downloadable!]
    Other versions:
  21. St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada. [Downloadable!]
  22. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January. [Downloadable!] (restricted)
  23. Laurence Ball & N. Gregory Mankiw & David Romer, 1988. "The New Keynsesian Economics and the Output-Inflation Trade-off," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1988-1), pages 1-82. [Downloadable!]
  24. Guy Debelle, 1997. "Inflation Targeting in Practice," IMF Working Papers 97/35, International Monetary Fund.
  25. Thomas Laubach & Adam Posen, 1997. "Some comparative evidence on the effectiveness of inflation targeting," Research Paper 9714, Federal Reserve Bank of New York. [Downloadable!]
  26. Bernanke, Ben S. & Mihov, Ilian, 1997. "What does the Bundesbank target?," European Economic Review, Elsevier, vol. 41(6), pages 1025-1053, June. [Downloadable!] (restricted)
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  27. Jean-François Fillion & André Léonard, 1997. "La courbe de Phillips au Canada : un examen de quelques hypothèses," Working Papers 97-3, Bank of Canada. [Downloadable!]
  28. Timothy D. Lane & Skander van den Heuvel, 1998. "The United Kingdom's Experience with Inflation Targeting," IMF Working Papers 98/87, International Monetary Fund.
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Cited by:
(explanations, 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.)

  1. Lalonde, René & Page, Jennifer & St-Amant, Pierre, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Working Papers 98-21, Bank of Canada. [Downloadable!]
  2. Hogan, Seamus & Marianne Johnson & Thérèse Laflèche, 2001. "Core Inflation," Technical Reports 89, Bank of Canada. [Downloadable!]
  3. Pierre Fortin, 2003. "Can Monetary Policy Make a Difference for Economic Growth and Inequality?," Canadian Public Policy, University of Toronto Press, vol. 29(s1), pages 223-232, January. [Downloadable!] (restricted)
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