Do inflation targeting regimes reduce inflation uncertainty? : evidence from five industrilized and five emerging countries

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buir.advisorÖzlale, Ümit
dc.contributor.authorErtürk, Burak
dc.date.accessioned2016-07-01T10:59:51Z
dc.date.available2016-07-01T10:59:51Z
dc.date.issued2004
dc.departmentDepartment of Economicsen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.description.abstractIn 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 uncertainty- for five industrialized and five emerging countries after the implementation of inflation targeting. Many industrialized and emerging countries attempted to stabilize their price levels with the help of a monetary discipline satisfied by the features of inflation targeting. These regimes are thought to lower the uncertainties regarding inflation dynamics. This methodology allows decomposing two types of uncertainties and it was claimed that successful implementation of inflation targeting removes these uncertainties. Two types of tests were employed to detect this claim: A simple non-parametric test which examine whether the changes in the mean and the variance of expected inflation along with two types of inflation uncertainty are statistically significant; and a parametric test whether there has been a shift in mean or a shift in the trend for expected inflation and two types of uncertainties. Both non-parametric and parametric test results indicate that the inflation targeting regimes are particularly successful in reducing expected inflation while there is less evidence that implementation of inflation targeting reduce inflation uncertainty.en_US
dc.description.degreeM.A.en_US
dc.description.provenanceMade available in DSpace on 2016-07-01T10:59:51Z (GMT). No. of bitstreams: 1 0002484.pdf: 512198 bytes, checksum: 9195915fc0bc32999b773736f9a185c5 (MD5) Previous issue date: 2004en
dc.description.statementofresponsibilityErtürk, Buraken_US
dc.format.extentvi, 51 leaves, graphicsen_US
dc.identifier.itemidBILKUTUPB080986
dc.identifier.urihttp://hdl.handle.net/11693/29453
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectInflation Targetingen_US
dc.subjectTime Varying Parameter Modelsen_US
dc.subjectInflation Uncertaintyen_US
dc.subjectExpected Inflationen_US
dc.subject.lccHG229 .E78 2004en_US
dc.subject.lcshInflation (Finance) Mathematical models.en_US
dc.titleDo inflation targeting regimes reduce inflation uncertainty? : evidence from five industrilized and five emerging countriesen_US
dc.typeThesisen_US

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