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Central Bank Credibility and Black Market Exchange Rate Premia: A Panel Time Series Analysis

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  • Mammadov, Fuad

Abstract

The major goal of this study was analyze the effect of “credibility” shocks to the dynamics of inflation persistence in 20 countries using quarterly data for the period 1980-1998. To address this topic, we used recently developed heterogeneous panel time series methods and found that central bank credibility, as inferred from the black market premium, impacted the degree of inflation persistence associated with central bank interventions and that the magnitude of this effect was correlated with the degree of central bank autonomy.

Suggested Citation

  • Mammadov, Fuad, 2014. "Central Bank Credibility and Black Market Exchange Rate Premia: A Panel Time Series Analysis," MPRA Paper 65572, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:65572
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    File URL: https://mpra.ub.uni-muenchen.de/65572/1/MPRA_paper_65572.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Central bank credibility; black market exchange rate; heterogeneous dynamic panel; panel VAR;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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