Effects of adopting inflation targeting regimes on inflation variability
Date
2007Source 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
ArticleItem Usage Stats
226
views
views
240
downloads
downloads
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
GARCHInflation targeting and inflation variability
Electronic commerce
Mathematical models
Specifications
Inflation targeting and inflation variability
Inflation targeting regimes
Statistical mechanics
Permalink
http://hdl.handle.net/11693/23534Published Version (Please cite this version)
http://dx.doi.org/10.1016/j.physa.2006.08.047Collections
Related items
Showing items related by title, author, creator and subject.
-
Turkey's experience with disinflation: where did all the welfare gains go?
Neyapti, B. (Routledge, 2013)This article measures the welfare gains from disinflation in Turkey during the 2000s. Estimated welfare gains exceed the real output gains, which is likely to arise from persisting allocative inefficiencies, pointing at ... -
Do inflation targeting regimes reduce inflation uncertainty? : evidence from five industrilized and five emerging countries
Ertürk, Burak (Bilkent University, 2004)In this thesis, using a time-varying parameter model with GARCH specification, it was investigated whether there is a structural break in expected inflation and two types of inflation uncertainties –structural and impulse ... -
The inflation and inflation uncertainty relationship for Turkey: a dynamic framework
Berument, Hakan; Yalcin, Y.; Yildirim, J. O. (Springer, 2011)This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984-2009. The bulk of previous studies investigating the link ...