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 variabilityâconditional 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 InfoPaper provided by Bilkent University, Department of Economics in its series Departmental Working Papers with number 0702.
Date of creation: 2007
Date of revision:
Other versions of this item:
- Berument, Hakan & Yuksel, Ebru, 2007. "Effects of adopting inflation targeting regimes on inflation variability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(1), pages 265-273.
- NEP-ALL-2007-08-27 (All new papers)
- NEP-CBA-2007-08-27 (Central Banking)
- NEP-MAC-2007-08-27 (Macroeconomics)
- NEP-MON-2007-08-27 (Monetary Economics)
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