Browsing by Subject "Inflation (Finance)--Econometric models."

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Open Access
Pre conditions of inflation targeting
(2011) Başer, Şefika
Inflation targeting regime is appeared as a new approach to achieve price stability objectives of the central banks. It is started be used at the beginnings of 1990’s. Inflation targeting regime is based on an inflation target that is defined and announced to public. This regime has changed some structures of central banks. Central bank credibility became more important. Transparency came into prominence, therefore central banks started to give closer attention to communication strategies. This paper aims to define pre conditions of inflation targeting together with the history of Turkish economy to set light on the conditions that carry Central Bank of the Republic of Turkey to choose inflation targeting regime. After communication strategies are defined and communication strategies of different central banks are compared in this paper. As being one of the inflation targeting central bank, Central Bank of the Republic of Turkey is subjected to review and advices are given to improve its communication strategies to become more effective in applying inflation targeting regime.
Open Access
Three essays on monetary policy modeling : applications of inflation targeting
(2008) Yüksel, Ebru
This dissertation is made up of three essays on modeling monetary policy in a New Keynesian framework. The first essay presents an overview of the evolution of New Keynesian view. Since most of the studies in monetary policy literature employ New Keynesian models due to their power in accounting for price rigidities, microeconomic foundations and various monetary policy rules; such a survey improves our understanding of the type of theoretical and empirical research that has so far been conducted to analyze monetary policy within a New Keynesian framework. This first essay also gives a detailed derivation of structural relationships developed from microfoundations. The second essay examines the behavior of Taylor-type monetary policy rule by introducing interest rate pass-through in a New Keynesian setting with backward looking components. A simulation is performed to analyze the behavior of policy instrument and pass-through relationship under inflation targeting. The main contribution of this essay is the introduction of interest rate pass-through into a New Keynesian structural model for the first time. Besides, as differently from the previous literature, the structural model allows for time-varying parameters (TVP) not only for the parameters of the monetary policy rule but also for the coefficients of the interest rate passthrough and other dynamics of the system. This is a salient feature of the analysis here, since previous studies in this field typically allow for variation over time of parameters of the monetary policy rule alone. However, having TVP specification for all parameters of the model provides the flexibility of examining the impact of policy changes over the monetary policy rule, interest rate pass-through and other dynamics of the system. The last important aspect of the second essay is the use of Extended Kalman Filter (EKF) as the estimation technique. That EKF is not widely employed for estimating nonlinear systems in this field makes this study significant in demonstrating the strength of EKF in predicting TVP models. The results of the simulations carried out within this essay revealed that long-term interest rate and interest rate pass-through specification are essential ingredients to be included in monetary policy analysis. The last essay 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 generalized autoregressive conditional heteroscedasticity (GARCH) specification is used to model inflation variability, which accounts for public perception of the future levels of inflation variability − conditional variance. We found that implementation of inflation targeting program has changed the public perception towards inflation only in Australia, Chile, Sweden and the UK, indicating limited empirical support for the lower inflation and its variability for the inflation targeting regimes.