Inflation targeting in Latin America: Empirical analysis using GARCH models
| Autor: | Carmen Broto |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Macroeconomics
Inflation Economics and Econometrics Latin Americans Inflation targeting media_common.quotation_subject Autoregressive conditional heteroskedasticity Monetary policy jel:C51 Inflation targets inflation uncertainty GARCH structural time series models jel:E52 jel:C22 Moderation Volatility persistence Econometrics Economics Real interest rate Volatility (finance) media_common |
| Zdroj: | Economic Modelling. 28:1424-1434 |
| ISSN: | 0264-9993 |
| Popis: | During the last years, a number of countries have adopted formal inflation targeting (IT) monetary policy frameworks in a context of global inflation moderation. This paper studies inflation dynamics in eight Latin American countries, some of which have adopted formal targets. We analyze possible benefits associated with IT in terms of lower inflation, inflation volatility and volatility persistence. To describe inflation dynamics and evaluate its impact, we use an unobserved components model, where each component can follow a GARCH type process. In general, the main findings of the empirical exercise show that the adoption of IT has been useful to reduce the inflation level and volatility in these countries. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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