Inflation Volatility and Forecast Accuracy
This paper examines the statistical properties of inflation in a sample of inflation-targeting and non-inflation-targeting countries. First, it analyses the time-varying volatility of a measure of the persistent component of inflation. Based on this measure, inflation-targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) have experienced a relatively more pronounced fall in the volatility of inflation than non-inflation-targeting countries (Austria, France, Germany, Japan and the United States). But it is hard to say whether inflation is more volatile in inflation-targeting or non-inflation-targeting countries. Second, it analyses whether inflation became easier to forecast after the introduction of inflation targeting. It finds that inflation became easier to forecast in both inflation-targeting and non-inflation-targeting countries; the improvement was greater for the former group but forecast errors remain smaller for the latter group.
(This abstract was borrowed from another version of this item.)
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 44 (2011)
Issue (Month): 4 (December)
|Contact details of provider:|| Postal: |
Phone: +61 3 8344 2100
Fax: +61 3 8344 2111
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-9018
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0004-9018|
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.:
- Stephen G. Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2004.
"Has Monetary Policy Become More Efficient? A Cross Country Analysis,"
NBER Working Papers
10973, National Bureau of Economic Research, Inc.
- Stephen G. Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2006. "Has Monetary Policy become more Efficient? a Cross-Country Analysis," Economic Journal, Royal Economic Society, vol. 116(511), pages 408-433, 04.
- Kenneth N. Kuttner & Adam S. Posen, 2001.
"Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks,"
Working Paper Series
WP01-7, Peterson Institute for International Economics.
- Kuttner, Kenneth N & Posen, Adam S, 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 369-87, October.
- Kenneth N. Kuttner, 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," Working Papers 52, Oesterreichische Nationalbank (Austrian Central Bank).
- James H. Stock & Mark W. Watson, 2005.
"Understanding Changes In International Business Cycle Dynamics,"
Journal of the European Economic Association,
MIT Press, vol. 3(5), pages 968-1006, 09.
- James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
- Franck Sédillot & Hervé Le Bihan, 2002. "Implementing and interpreting indicators of core inflation: the case of France," Empirical Economics, Springer, vol. 27(3), pages 473-497.
- James H. Stock & Mark W. Watson, 2008.
"Phillips Curve Inflation Forecasts,"
NBER Working Papers
14322, National Bureau of Economic Research, Inc.
- Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010.
"Inflation-Gap Persistence in the US,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 2(1), pages 43-69, January.
- Ivan Roberts, 2005. "Underlying Inflation: Concepts, Measurement and Performance," RBA Research Discussion Papers rdp2005-05, Reserve Bank of Australia.
- Georgios Chortareas & David Stasavage & Gabriel Sterne, 2001.
"Does it pay to be transparent? International evidence from central bank forecasts,"
Bank of England working papers
143, Bank of England.
- Georgios Chortareas & David Stasavage & Gabriel Sterne, 2002. "Does it pay to be transparent? international evidence form central bank forecasts," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 99-118.
When requesting a correction, please mention this item's handle: RePEc:bla:ausecr:v:44:y:2011:i:4:p:404-417. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.