Monetary Policy Credibility and the Unemployment-Inflation Tradeoff; Some Evidence From 17 Industrial Countries
Using data on long-term interest rates for 17 industrial countries, this paper develops some simple measures of monetary policy credibility and then tests if such measures improve the out-of-sample forecasts of conventional models of the inflation-unemployment process. The results provide some evidence in favor of the Lucas critique by showing that the short-run unemployment-inflation trade-off tends to improve in countries that are successful in providing low and stable inflation.
|Date of creation:||01 Dec 2002|
|Contact details of provider:|| Postal: International Monetary Fund, Washington, DC USA|
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
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.:
- David T. Coe & C. John McDermott, 1997.
"Does the Gap Model Work in Asia?,"
IMF Staff Papers,
Palgrave Macmillan, vol. 44(1), pages 59-80, March.
- Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-368, July.
- Mark Deacon & Andrew Derry, 1994. "Estimating the Term Structure of Interest Rates," Bank of England working papers 24, Bank of England.
- Athanasios Orphanides & Simon van Norden, 2004.
"The reliability of inflation forecasts based on output gap estimates in real time,"
Finance and Economics Discussion Series
2004-68, Board of Governors of the Federal Reserve System (U.S.).
- Orphanides, Athanasios & van Norden, Simon, 2005. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 583-601, June.
- Orphanides, Athanasios & van Norden, Simon, 2005. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," CEPR Discussion Papers 4830, C.E.P.R. Discussion Papers.
- Athanasios Orphanides & Simon van Norden, 2003. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," CIRANO Working Papers 2003s-01, CIRANO.
- Christopher J. Erceg & Andrew T. Levin, 2001.
"Imperfect credibility and inflation persistence,"
Finance and Economics Discussion Series
2001-45, Board of Governors of the Federal Reserve System (U.S.).
- Dave Turner & Elena Seghezza, 1999. "Testing for a Common OECD Phillips Curve," OECD Economics Department Working Papers 219, OECD Publishing.
- Fischer, Stanley, 1996. " Robert Lucas's Nobel Memorial Prize," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(1), pages 11-31, March.
- Eric Schaling, 1999. "The non-linear Phillips curve and inflation forecast targeting," Bank of England working papers 98, Bank of England.
- James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
- Guy Debelle & Stanley Fischer, 1994.
"How independent should a central bank be?,"
Conference Series ; [Proceedings],
Federal Reserve Bank of Boston, vol. 38, pages 195-225.
- Douglas Staiger & James H. Stock & Mark W. Watson, 1996.
"How Precise are Estimates of the Natural Rate of Unemployment?,"
NBER Working Papers
5477, National Bureau of Economic Research, Inc.
- Douglas O. Staiger & James H. Stock & Mark W. Watson, 1997. "How Precise Are Estimates of the Natural Rate of Unemployment?," NBER Chapters, in: Reducing Inflation: Motivation and Strategy, pages 195-246 National Bureau of Economic Research, Inc.
- Guy Debelle & Jenny Wilkinson, 2002. "Inflation Targeting and the Inflation Process: Some Lessons from an Open Economy," RBA Research Discussion Papers rdp2002-01, Reserve Bank of Australia.
- Michael Bleaney & Douglas Laxton, 2003.
"Real Interest Rates And Real Exchange Rates: Evidence From Indexed Bonds,"
University of Manchester, vol. 71(1), pages 65-77, January.
- Douglas Laxton & Michael Bleany, 1999. "Real Interest Rates and Real Exchange Rates : Evidence from Indexed Bonds," Computing in Economics and Finance 1999 942, Society for Computational Economics.
- David G. Barr & John Y. Campbell, 1995. "Inflation, Real Interest Rates and the Bond Market: A Study of UK Nominal Index-Linked Government Bond Prices," Harvard Institute of Economic Research Working Papers 1731, Harvard - Institute of Economic Research.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Laurence Boone & Michel Juillard & Doug Laxton & Papa N'Diaye, 2002. "How Well Do Alternative Time-Varying Parameter Models of the NAIRU Help Policymakers Forecast Unemployment and Inflation in the OECD Countries?," Computing in Economics and Finance 2002 359, Society for Computational Economics.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:02/220. 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: (Jim Beardow)or (Hassan Zaidi)
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.