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      Effects of adopting inflation targeting regimes on inflation variability

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      Author(s)
      Berument, Hakan
      Yuksel, E.
      Date
      2007
      Source Title
      Physica A : Statistical Mechanics and its Applications
      Print ISSN
      0378-4371
      Electronic ISSN
      1873-2119
      Publisher
      Elsevier BV
      Volume
      375
      Issue
      1
      Pages
      265 - 273
      Language
      English
      Type
      Article
      Item Usage Stats
      226
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      240
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      Abstract
      This paper investigates whether inflation-targeting programs have altered the pattern of inflation and its variability for five developed countries and four emerging economies implementing inflation-targeting programs. A GARCH specification is used to model inflation variability, which accounts for public perception of the future levels of inflation variability-conditional variance. We could not find lower conditional inflation expectations except for Australia, Chile and Sweden under various specifications. Moreover, the conditional variance decreases only for Chile and the UK. Therefore, the empirical support for the lower inflation and its variability for the inflation targeting regimes is limited. © 2006 Elsevier B.V. All rights reserved.
      Keywords
      GARCH
      Inflation targeting and inflation variability
      Electronic commerce
      Mathematical models
      Specifications
      Inflation targeting and inflation variability
      Inflation targeting regimes
      Statistical mechanics
      Permalink
      http://hdl.handle.net/11693/23534
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.physa.2006.08.047
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      • Department of Economics 724
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