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Time Series Analysis of Inflation Targeting in Selected Countries


  • Ismail Genc
  • Minsoo Lee
  • Candelaria Rodriguez
  • Zachary Lutz


We analyze a set of countries which adopted inflation targeting (IT) as a policy tool. We model the pre-IT period with ARMA and GARCH methods, and conduct the one-step ahead forecasting for the remainder of the times series data. The actual and forecasted inflation levels are compared for each country. We find that even though the actual inflation levels are lower than the forecasted ones, there is no statistical evidence to suggest that the adoption of IT causes a structural break in the inflation levels of the countries which adopt IT.

Suggested Citation

  • Ismail Genc & Minsoo Lee & Candelaria Rodriguez & Zachary Lutz, 2007. "Time Series Analysis of Inflation Targeting in Selected Countries," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 10(1), pages 15-27.
  • Handle: RePEc:taf:jpolrf:v:10:y:2007:i:1:p:15-27 DOI: 10.1080/17487870701201578

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    Cited by:

    1. Ftiti, Zied & Hichri, Walid, 2014. "The price stability under inflation targeting regime: An analysis with a new intermediate approach," Economic Modelling, Elsevier, vol. 38(C), pages 23-32.
    2. Creel, Jérôme & Hubert, Paul, 2015. "Has Inflation Targeting Changed The Conduct Of Monetary Policy?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(01), pages 1-21, January.
    3. Luke Byrne Willard, 2012. "Does inflation targeting matter? A reassessment," Applied Economics, Taylor & Francis Journals, vol. 44(17), pages 2231-2244, June.
    4. Arestis, Philip & Chortareas, Georgios & Magkonis, Georgios & Moschos, Demetrios, 2014. "Inflation targeting and inflation convergence: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 285-295.
    5. Zied Ftiti & Khaled Guesmi & Nguyen & Frédéric Teulon, 2015. "Modelling inflation shifts and persistence in Tunisia: perspectives from an evolutionary spectral approach," Applied Economics, Taylor & Francis Journals, vol. 47(57), pages 6200-6210, December.
    6. repec:ipg:wpaper:2014-099 is not listed on IDEAS
    7. Ardakani, Omid & Kishor, N. Kundan, 2014. "Examining the Success of the Central Banks in Inflation Targeting Countries: The Dynamics of Inflation Gap and the Institutional Characteristics," MPRA Paper 58402, University Library of Munich, Germany.
    8. Ismail H. Genc & Mehmet Balcilar, 2012. "Effectiveness of Inflation Targeting in Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S5), pages 35-47, November.
    9. 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.
    10. Chaouech, Olfa, 2012. "La politique de ciblage d'inflation: fondements théoriques et validation empirique
      [The inflation targeting policy: theoretical and empirical validation]
      ," MPRA Paper 60760, University Library of Munich, Germany, revised 19 Dec 2014.
    11. Ismailov, Shakhzod & Kakinaka, Makoto & Miyamoto, Hiroaki, 2016. "Choice of inflation targeting: Some international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 350-369.
    12. Paul Hubert, 2010. "Monetary Policy, Imperfect Information and the Expectations Channel," Sciences Po publications info:hdl:2441/f4rshpf3v1u, Sciences Po.
    13. Ismail H. Genc & Mehmet Balcilar, 2012. "Effectiveness of Inflation Targeting in Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(S5), pages 35-47, November.


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