Time series analysis of inflation targeting in selected countries

被引：12

作者：

Genc, Ismail H.

Lee, Minsoo

Rodroguez, Candelaria O.

Lutz, Zachary

机构：

[1] Amer Univ Sharjah, Dept Econ, Sharjah, U Arab Emirates

[2] Univ Idaho, Moscow, ID 83843 USA

来源：

JOURNAL OF ECONOMIC POLICY REFORM | 2007年 / 10卷 / 01期

关键词：

inflation targeting; international comparison; forecasting;

D O I：

10.1080/17487870701201578

中图分类号：

F0 [经济学]; F1 [世界各国经济概况、经济史、经济地理]; C [社会科学总论];

学科分类号：

0201 ; 020105 ; 03 ; 0303 ;

摘要：

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 the countries which adopt IT.

引用

页码：15 / 27

页数：13