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Skewed policy responses and IT in Latin America

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  • Marco Vega

    (Economics LSE and Central Bank of Peru)

Abstract

Estimation of forward-looking interest rate rules is ubiquitous in the context of developed economy central banks. This paper considers the five countries in Latin America that have adopted the Inflation Targeting framework and performs estimations of forward-looking rules via i) standard least-squares criteria and ii) quantile regressions. The estimated standard mean effects indicate that Brazil, Chile and Mexico are strongly forward-looking for horizons of a year and more. The estimated quantile effects suggest that policy makers in Brazil, Chile and Mexico are likely to have faced more upside than downside risks to their one-year ahead inflation forecasts when setting their policies

Suggested Citation

  • Marco Vega, 2006. "Skewed policy responses and IT in Latin America," Computing in Economics and Finance 2006 61, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:61
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    File URL: http://repec.org/sce2006/up.12714.1138724598.pdf
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    References listed on IDEAS

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    1. repec:bla:intfin:v:6:y:2003:i:3:p:349-80 is not listed on IDEAS
    2. Kenneth N. Kuttner, 2004. "The role of policy rules in inflation targeting," Review, Federal Reserve Bank of St. Louis, vol. 86(Jul), pages 89-112.
    3. Clarida, Richard & Gali, Jordi & Gertler, Mark, 1998. "Monetary policy rules in practice Some international evidence," European Economic Review, Elsevier, vol. 42(6), pages 1033-1067, June.
    4. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, June.
    5. Orphanides, Athanasios, 2004. "Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 151-175, April.
    6. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
    7. Orphanides, Athanasios, 2004. "Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 151-175, April.
    8. Oscar Landerretche & Felipe Morandé & Klaus Schmidt-Hebbel, 1999. "Inflation Targets and Stabilization in Chile," Working Papers Central Bank of Chile 55, Central Bank of Chile.
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    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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