2007
DOI: 10.1080/17487870701201578
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Time Series Analysis of Inflation Targeting in Selected Countries

Abstract: We analyze a set of countries which adopted inflation targeting (IT) as a policy tool. We model the pre-IT period with ARMA and GARCH methods, and conduct the one-step ahead forecasting for the remainder of the times series data. The actual and forecasted inflation levels are compared for each country. We find that even though the actual inflation levels are lower than the forecasted ones, there is no statistical evidence to suggest that the adoption of IT causes a structural break in the inflation levels of t… Show more

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Cited by 17 publications
(9 citation statements)
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References 21 publications
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“…In other words, the central bank had credibly convinced the public about its intention to adopt inflation targeting. Our finding, specifically for New Zealand, concurs with [37,47], where they, too, fail to find a statistically significant structural break at the time that inflation targeting was adopted as the monetary policy framework.…”
Section: Lagsupporting
confidence: 89%
See 1 more Smart Citation
“…In other words, the central bank had credibly convinced the public about its intention to adopt inflation targeting. Our finding, specifically for New Zealand, concurs with [37,47], where they, too, fail to find a statistically significant structural break at the time that inflation targeting was adopted as the monetary policy framework.…”
Section: Lagsupporting
confidence: 89%
“…Putting it differently, while some authors (see among others, [33][34][35][36][37][38][39]) claim that the inflation targeting policy is successful in reducing inflation, others (see among others, [40][41][42][43][44][45][46]) assert that inflation targeting policies cannot be definitively credited for the reduction in inflation rates. In a recent article, [47] arrives at just this conclusion by failing to find any shock in inflation data before and after the adoption of inflation targeting policy in a number of countries. We experiment only with the New Zealand data because most of the studies concentrate on that country, which is known to be one of the pioneers of inflation targeting.…”
Section: Implementation Of the Test On The Real-world Datamentioning
confidence: 99%
“…Dans le même contexte, Willard (2012) propose d'étudier l'effet de l'introduction de la politique de CI sur la dynamique d'inflation en se basant sur les travaux de Wu (2004) et de Ball et Sheridan (2003). Selon l'auteur, l'étude de Ball et Sheridan (2003) Dans une autre étude, Genc et al (2007) estiment l'inflation durant la période de ciblage à travers des modélisations de type autoregressive moving average (ARMA) et GARCH durant la période d'avant ciblage. L'étude se fonde sur quatre pays industrialisés (la Nouvelle-Zélande, le Canada, l'Angleterre et la Suède).…”
Section: Revue De La Littératureunclassified
“…Yaptıkları çalışmada sonuç olarak beklenen enflasyon oranlarının her ikisinde de enflasyon hedeflemesinin beklenen enflasyon üzerinde önemli bir etkisi olmadığı sonucuna varmışlardır. Genc and Rodriguez (2007) enflasyon hedeflemesinin dört gelişmiş ülke için enflasyon dinamiğine etkisini incelemiştir. Enflasyon hedeflemesi sırasında enflasyonu, ARMA ve GARCH modeline göre tahmin etmişlerdir ve enflasyon hedeflemesi stratejisinin enflasyon dinamiği üzerinde hiçbir etkisi olmadığı sonucuna varmışlardır.…”
Section: Batini and Laxtonunclassified