Effects of adopting inflation targeting regimes on inflation variability

Berument H., YÜKSEL HALİLOĞLU E.

Physica A: Statistical Mechanics and its Applications, cilt.375, sa.1, ss.265-273, 2007 (SCI-Expanded) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 375 Sayı: 1
  • Basım Tarihi: 2007
  • Doi Numarası: 10.1016/j.physa.2006.08.047
  • Dergi Adı: Physica A: Statistical Mechanics and its Applications
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.265-273
  • Anahtar Kelimeler: GARCH, Inflation targeting and inflation variability
  • Gazi Üniversitesi Adresli: Hayır

Özet

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.