The inflation Targeting effect on the inflation series: A New Analysis Approach of evolutionary spectral analysis
AbstractIn this work, we study the inflation targeting effect on the inflation dynamics in the case of four industrial countries. Our objective is to check whether the inflation targeting policy (ITP) has a significant impact on the change of the inflation path. We use a non-parametric approach that doesn’t require any previous modelling. This is the evolutionary spectral analysis, as defined by Priestley (1965-1996). Then, we use a test that can detect many break points on the time series. This test is inspired by Subba Rao (1981). We use an extension to this test to allow the detection of multiple breaks. We base this on the extension of Ahamada and Boutahar (2002). This is the first time that this method is used in the case of inflation-targeting countries. We find that the inflation-targeting policy had a transition period for countries that had a high and volatile inflation experience before the inflation-targeting adoption. There is the case of New Zealand, Canada and Sweden. In these countries, we identify a structural change in the inflation series resulting to the inflation targeting intervention. However, In the case of other countries like United Kingdom that have a relatively lower inflation rate experience before the ITP adoption, we didn’t find a break point caused by this monetary policy intervention. In this case, the ITP had a role of ensuring this price stability. This result is explained by the fact that the inflation targeting is relevant when the initial inflation to be stabilized is near the target range (Artus, 2004). So, in this paper we justify the intuition of Artus (2004). The second result in our paper consists on the nature of inflation stabilization during the inflation-targeting period. The results proof a long-term stabilization on the inflation dynamic in the period of IT. These results traduce the success of this new framework to anchor the inflation expectation anchoring. So, we can conclude that this policy is preferment to ensure price stability in the case of industrials countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure in its series Working Papers with number 0832.
Length: 22 pages
Date of creation: 2008
Date of revision:
Contact details of provider:
Postal: 93, chemin des Mouilles - B.P.167 69131 - Ecully cedex
Phone: 33(0)472 29 30 89
Fax: 33(0)47229 30 90
Web page: http://www.gate.cnrs.fr/
More information through EDIRC
Inflation Targeting; Spectral Analysis and Structural Change;
Other versions of this item:
- Essahbi Essaadi & Zied Ftiti, 2008. "The inflation Targeting effect on the inflation series: ANew Analysis Approach of evolutionary spectral analysis," Post-Print halshs-00355637, HAL.
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-31 (All new papers)
- NEP-MAC-2009-01-31 (Macroeconomics)
- NEP-MON-2009-01-31 (Monetary Economics)
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.:
- Ben S. Bernanke & Ilian Mihov, 1995.
"Measuring Monetary Policy,"
NBER Working Papers
5145, National Bureau of Economic Research, Inc.
- Michael D. Bordo & Angela Redish, 2005. "Seventy Years of Central Banking: The Bank of Canada in International Context, 1935-2005," NBER Working Papers 11586, National Bureau of Economic Research, Inc.
- Svensson, Lars E.O., 1998.
"Inflation Targeting as a Monetary Policy Rule,"
646, Stockholm University, Institute for International Economic Studies.
- Svensson, Lars E O, 1998. "Inflation Targeting as a Monetary Policy Rule," CEPR Discussion Papers 1998, C.E.P.R. Discussion Papers.
- Lars E.O. Svensson, 1998. "Inflation Targeting as a Monetary Policy Rule," NBER Working Papers 6790, National Bureau of Economic Research, Inc.
- Svensson, L.E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Papers 646, Stockholm - International Economic Studies.
- Marc Giannoni & Michael Woodford, 2004.
"Optimal Inflation-Targeting Rules,"
in: The Inflation-Targeting Debate, pages 93-172
National Bureau of Economic Research, Inc.
- Luca Benati, 2003.
"Evolving Post-World War II U.K. Economic Performance,"
Computing in Economics and Finance 2003
171, Society for Computational Economics.
- Luca Benati, 2004. "Evolving post-World War II UK economic performance," Bank of England working papers 232, Bank of England.
- 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.
- Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," Journal of Economic Perspectives, American Economic Association, vol. 11(2), pages 97-116, Spring.
- Artis, Michael J & Bladen-Hovell, Robin & Nachane, Dilip M, 1992. "Instability of the Velocity of Money: A New Approach Based on the Evolutionary Spectrum," CEPR Discussion Papers 735, C.E.P.R. Discussion Papers.
- International Monetary Fund, 1998. "The United Kingdom's Experience with Inflation Targeting," IMF Working Papers 98/87, International Monetary Fund.
- Bernard Hodgetts & Robin Clements, 1989. "Causes of the fall in inflation 1985-88," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 52, september.
- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March.
- Bouchouicha, Ranoua & Ftiti, Zied, 2012. "Real estate markets and the macroeconomy: A dynamic coherence framework," Economic Modelling, Elsevier, vol. 29(5), pages 1820-1829.
- 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.
- Anna Créti & Zied Ftiti & Khaleb Guesmi, 2013.
"Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries,"
- Anna Creti & Zied Ftiti & Khaled Guesmi, 2013. "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," EconomiX Working Papers 2013-11, University of Paris West - Nanterre la Défense, EconomiX.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nelly Wirth).
If references are entirely missing, you can add them using this form.