摘要 :
Under inflation targeting, central banks are supposed to set an inflation target in advance and then try to make the actual inflation reach the target. However, central banks may have an incentive to adjust their targets to meet t...
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Under inflation targeting, central banks are supposed to set an inflation target in advance and then try to make the actual inflation reach the target. However, central banks may have an incentive to adjust their targets to meet their goals. Panel data analysis with a sample of 19 inflation-targeting countries show that changes in the inflation target significantly and positively respond to the deviation of the inflation rate from the target in the previous period. This result supports the idea that inflation-targeting central banks adjust the inflation target to meet the target when they miss it. Further analysis suggests that such a relationship is more evident in central banks with low credibility or weak performance compared with high credibility or strong performance. Finally, we show that such behavior of central banks can lead to equilibrium indeterminacy in the standard New Keynesian model. Further, such behavior renders achieving equilibrium determinacy harder for central banks even in more realistic models. This result may imply that when central banks respond to missed inflation targets by adjusting their targets and to enhance the credibility and stabilize the inflation rate, they may end up destabilizing inflation expectations and the inflation rate. (C) 2020 Elsevier B.V. All rights reserved.
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Inflation targeting is implemented in different ways - typically by adopting point targets, with or without tolerance bands, or by specifying target ranges. Using data for 20 economies (half of which are advanced and emerging mark...
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Inflation targeting is implemented in different ways - typically by adopting point targets, with or without tolerance bands, or by specifying target ranges. Using data for 20 economies (half of which are advanced and emerging market economies, respectively), this paper tests whether the various target types anchor inflation expectations differently. By studying to what extent inflation expectations are responsive to past inflation and how much forecasters disagree, it tests two contradictory hypotheses, namely that targets with intervals lead to (i) less anchor-ing, e.g. because they provide more flexibility to the central bank, or (ii) better anchoring, be-cause they are missed less often, leading to an enhanced credibility. The evidence refutes the first hypothesis, and generally finds that target ranges or (in some cases) tolerance bands out-perform the other types. However, the effects partially depend on the economic context and no target type consistently outperforms all others. This suggests that there are some benefits to adopting intervals, but the central bank can anchor inflation expectations also by other means. (c) 2021 Elsevier B.V. All rights reserved.
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This study tests for and models non-linearities in inflation deviations from the target in five OECD countries that adopted inflation targeting over the 1990s. Our tests reject the linearity hypothesis and we show that the exponen...
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This study tests for and models non-linearities in inflation deviations from the target in five OECD countries that adopted inflation targeting over the 1990s. Our tests reject the linearity hypothesis and we show that the exponential smooth transition autoregressive (ESTAR) model is capable of capturing the non-linear behavior of inflation misalignments. The extent of inflation deviations from the target varies across the OECD countries, with countries that consistently undershoot the target having a rapid adjustment process, whereas countries that overshoot the target have a slower revision back to equilibrium. Out-of-sample forecasts from the ESTAR model outperform the Markov regime-switching model.
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We propose a novel test of the credibility of inflation targets, using surveys of professional forecasters and a variant of the model of inflation expectations developed in Mehrotra and Yetman (2017). We find that inflation target...
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We propose a novel test of the credibility of inflation targets, using surveys of professional forecasters and a variant of the model of inflation expectations developed in Mehrotra and Yetman (2017). We find that inflation targets in most economies have been considered credible by professional forecasters, as the estimated anchor of inflation forecasts is close to the announced inflation target. Moreover, any deviations between the estimated anchor and the target tend to be short lived. (C) 2018 Elsevier B.V. All rights reserved.
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Forecasts of agents who are actively involved in the setting of prices and wages are less readily available than those of professional analysts but may be more relevant for understanding inflation dynamics. Here we compare inflati...
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Forecasts of agents who are actively involved in the setting of prices and wages are less readily available than those of professional analysts but may be more relevant for understanding inflation dynamics. Here we compare inflation expectations anchoring between analysts, businesses and trade unions for one country for which comparable forecasts are available for almost two decades: South Africa. Forecasts are modelled as monotonically diverging from an estimated long-run anchor point, or 'implicit anchor', towards actual inflation as the forecast horizon shortens. We find that the estimated inflation anchors of analysts lie within the 3-6 percent inflation target range of the central bank. However, those for businesses and trade unions, which our evidence suggests may be the most relevant for driving the inflation process, have remained above the top end of the official target range. Our results point to challenges for central banks seeking to gain credibility with agents whose decisions directly influence inflation.
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In this paper we analyze the effect of the implementation of inflation targeting (IT) in Mexico. The analysis focuses on the inflation convergence process between Mexico and the United States, on inflation expectations in Mexico, ...
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In this paper we analyze the effect of the implementation of inflation targeting (IT) in Mexico. The analysis focuses on the inflation convergence process between Mexico and the United States, on inflation expectations in Mexico, and on economic growth rates in the Mexican economy. Our results show that neither the fall in Mexican inflation rates nor inflation convergence with the United States can be attributed (only) to the implementation of IT in Mexico. We do not detect any significant effect on economic growth.
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Using a small empirical model of inflation, output, and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show monetary targeting to be quite inefficient, ...
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Using a small empirical model of inflation, output, and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show monetary targeting to be quite inefficient, yielding both higherinflation and output variability. This is true even with a nonstochastic money demand formulation. Our results are also robust to using a P~* model of inflation. Therefore, in these popular frameworks, there is no support for the prominent role given tomoney growth in the Eurosystem's monetary policy strategy.
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We apply propensity score matching estimators with multiple outcomes to evaluate the impacts of exchange rate regimes (fixed, intermediate, and flexible without inflation targeting) and inflation targeting on inflation rates in em...
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We apply propensity score matching estimators with multiple outcomes to evaluate the impacts of exchange rate regimes (fixed, intermediate, and flexible without inflation targeting) and inflation targeting on inflation rates in emerging and developing countries. An inflation-targeting regime does better than or at least as good work as a fixed regime in lowering inflation rates when compared with intermediate or flexible regimes. We do not observe a clear difference in inflation rates between fixed and inflation-targeting regimes in recent years (2000-2007). Intermediate and flexible regimes provide higher inflation than fixed or inflation-targeting regimes in most cases.
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This paper investigates whether monetary-policy regime changes affect the success of forecasting inflation. The forecasting performances of some linear and nonlinear univariate models are analyzed for 14 different countries that h...
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This paper investigates whether monetary-policy regime changes affect the success of forecasting inflation. The forecasting performances of some linear and nonlinear univariate models are analyzed for 14 different countries that have adopted inflation-targeting (IT) monetary regimes at some point in their economic history. The results show that forecasting performance is generally superior under an IT monetary regime compared to nonIT (NIT) periods. In more than half of the countries covered in this study, superior forecasting accuracy can be achieved in IT periods regardless of the model used. In contrast, among most of the remaining countries, the results remain ambiguous, and the evidence on the superiority of NIT is limited to very few countries.
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