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Inflation Targeting: Lessons from the International Experience

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... In this paper we explore the effects of zero lower bound interest rates (ZLB) on inflation targeting policy regimes. A key purpose of central bank independence is to achieve price stability based on a rules and discretion compromise in the context of a delegated committee-based decision making process (Svensson, 1996;Bernanke et al. 2001;Mishkin, 2000). 2 The committee is given an inflation target (subject to parameters) and empowered to use tools such as short term nominal interest rates to achieve the target. A primary intention is to "anchor" inflationary expectations (Williams, 2014) through continuity, coherency and consistency in policy and through strategic communication (providing an iterative development of decision making through policy) as the economic environment evolves (Bernanke, 2001 and2003;Morgan, 2009). ...
... A key purpose of central bank independence is to achieve price stability based on a rules and discretion compromise in the context of a delegated committee-based decision making process (Svensson, 1996;Bernanke et al. 2001;Mishkin, 2000). 2 The committee is given an inflation target (subject to parameters) and empowered to use tools such as short term nominal interest rates to achieve the target. A primary intention is to "anchor" inflationary expectations (Williams, 2014) through continuity, coherency and consistency in policy and through strategic communication (providing an iterative development of decision making through policy) as the economic environment evolves (Bernanke, 2001 and2003;Morgan, 2009). Transparency and accountability are considered core institutional features for credible guidance. ...
... Arguably, communicative signalling has become ambiguous in the context of interest rate policy for the shaping of expectationsrelated behaviour in the UK, and yet the breakdown in convention has not passed through to manifest consequences in terms of elevated inflation. This is a curious situation based on the assumed efficacy of past practice emanating from the Bank of England Monetary Policy Committee (if we again refer to Bernanke 2001, Obstfeld, 2014. Clearly, ZLB is a relevant issue here. ...
Article
This paper applies a N-ARDLframework totwo longstanding inflation targeting policy regimes in order to assess the relationbetween oil prices dynamics and inflation expectations and the further consequences created by a proximal ZLB situation. The application is based on datafrom January1994 to June 2018 forNew Zealand and the UK. We focus on oil price shocks as a variable of interest and this was found to have an asymmetric effecton inflation expectations. One further key finding is that the real effective exchange rate has significant impacts on inflation expectations and this is indicative of an exchange rate pass-through to inflation via an inflation expectations channel. In general,we find thatinflation, exchange rate, money supply, output growth, unemployment and fiscal deficit/surplus have significant implications for inflation expectations. Inflation expectations are also influenced by their past behaviour indicating adaptive inflation expectations. This study contributes to the debate on the inflation targeting at ZLB.
... Gürkaynak, Levin and Swanson (2006), and Goldberg and Klein (2005) similarly compared the sensitivity of forward rates to news in different countries, and these papers all argue that the adoption of explicit inflation targets helps to stabilize distant-horizon forward rates. Bernanke, Laubach, Mishkin and Posen (2001) studied the behavior of foreign-U.S. interest differentials around the time that those foreign countries were adopting inflation targets. They found that countries adopting inflation targets saw a gradual reduction of their relative long-term interest rates. 2 This paper expands the use of international panel data in term structure analysis. ...
... New Zealand was the first central bank to introduce an inflation target in 1990, and many other central banks have subsequently followed. Table 3 lists the classification that I adopt for which central banks have inflation targets and when they were adopted, that generally follows Bernanke, Mishkin, Laubach and Posen (2001). All the countries in the panel now have inflation targets, except for the United States and Japan. ...
... For example, the Bank of England adopted an inflation target in 1992, but did not gain operational independence until May 1997, and I accordingly classify the United Kingdom as an inflation targeter only after May 1997. Bernanke, Mishkin, Laubach and Posen (2001) found that survey measures of inflation expectations generally tended to be lower with inflation targeting than without, although the decline in inflation expectations was gradual after the adoption of the inflation target-the announcement of the target did not generate credibility per se. Beechey, Johannsen, and Levin (2007) found that the dispersion of five-to-ten-year-ahead inflation expectations in the ECB's Survey of Professional Forecasters (SPF) has halved since 1999, when the inflation-targeting ECB was launched, and is now substantially lower than the corresponding dispersion of five-toten-year-ahead inflation expectations in the United States, as measured by the Federal Reserve Bank of Philadelphia's SPF. ...
... Inflation Targeting is one of the most widely used monetary policy strategies applied to achieve the goal of price stability. Proponents of will argue that it is an effective way of ensuring institutional commitment to lower inflation rates, improving communication, transparency and accountability in monetary policy and the central banking system (Mishkin and Posen, 1997;Bernanke, et al, 1999;Fraga, et al, 2003). Critiques however contend that there are better alternatives to this approach and that the gains from inflation targets are dubious (McCallum, 1996;Svensson, 1997). ...
... According to Mishkin (1999 and inflation targeting involved the following five steps: ...
... The natural interest rate is now an indivisible part of monetary theory, as well as of central bank's decision-making. Over the past decades, many central banks have disregarded the previous paradigm of targeting the money supply aggregate and have switched to an explicit or implicit inflation target as a more efficient method of securing long-term growth by having the objective of price stability as their central mandate (Bernanke et al., 2001). Interest rates, rather than changes of monetary aggregates, hold promise to reach this goal. ...
... Interest rates, rather than changes of monetary aggregates, hold promise to reach this goal. One of the main reasons for this enhanced efficiency of using interest rate rules to aim at specific inflation targets is that this makes the interest rate setting process transparent and can ensure the anchoring of expectations about the future path of interest rates and prices, thus better solving the time-consistency and commitment problems (Bernanke et al., 2001;Williams, 2016a). ...
Technical Report
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Policy rate cuts in negative territory have increased credit supply and improved the macroeconomic environment similar to cuts in positive territory. Dreaded disruptions to the monetary policy transmission channels as well as adverse side effects on bank profitability have so far largely failed to materialise. Thus, the evidence available today shows that the negative interest rate policy is an effective policy tool. However, systemic risks, including in the non-bank sector, should be closely monitored as negative rates are expected to remain low for longer.
... Under this interpretation, the findings in the literature support the key feature of the Kydland and Prescott (1977) example: reducing the time inconsistency problem ameliorates inflation but has no effect on output. Bernanke et al. (1999) have argued that inflation targeting is moving toward a rule-based regime. Their idea (p. ...
... Regime Discretionary RegimeSource:Bernanke et al. (1999) ...
... New Zealand was the first country to formally implement inflation targeting, as defined by Bernanke et al. (2001). 2 This innovation and the success it achieved attracted global attention and spawned the spread of inflation targeting by central banks in other countries (see Samarina, Terpstra and De Haan 2014;Schmidt-Hebbel and Carrasco 2016). ...
Article
Thirty years ago, New Zealand ushered in a revolutionary approach to monetary policy. This approach was formalized by the Reserve Bank of New Zealand Act 1989 which specified price stability as the primary function of monetary policy and provided operational autonomy for the central bank. This institutional innovation spawned the spread of more central banks around the world with a mandate to prioritize inflation targeting. This paper explains the historical origins of the RBNZ Act, its design and the ideas that influenced its design, and how the practice of inflation targeting and choice of monetary policy instruments have evolved. Some parts of this evolution were pioneering, and some parts followed international practice. The paper also reviews evidence of the impact of inflation targeting in New Zealand and discusses recent changes to the RBNZ Act.
... It can be traced back at least as far as the "direction setting" role (and its influence on expectations) ascribed to the Ministry of International Trade and Industry (MITI) and Economic Planning Agency (EPA) by commentators on post-war Japanese economic development such as Dore (1986Dore ( , 2000. It even finds a place in modern neoclassical macroeconomics (where seemingly it should be rendered redundant by the capacity of decision makers to form rational expectations) in the literature that identifies a role for central bank inflation targets in providing anchors for inflation expectations (see, for example, Bernanke et al, 2001). ...
Article
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A central element in the canonical Kaleckian growth model is the demand-led output-adjustment stability condition known as the Keynesian stability condition. This condition requires that, all else constant, saving be less responsive to changes in capital capacity utilization than investment. This paper further explores the plausibility of the Keynesian stability condition by enriching the Kaleckian growth model with a more fully developed Keynesian theory of expectations formation. As a result, the responsiveness of investment to changes in capacity utilization is reduced, and through mechanisms that have clear and plausible behavioural underpinnings. It therefore becomes more likely (in principle) that the Keynesian stability condition will hold in practice. The paper also explores the consequences of such re-specification of investment behaviour for certain comparative static results associated with the canonical Kaleckian growth model.
... Inflation Targeting (IT) is one of the most widely used monetary policy strategies applied to achieve the goal of price stability. Proponents of IT will argue that it is an effective way of ensuring institutional commitment to lower inflation rates, improving communication, transparency and accountability in monetary policy and the central banking system (Mishkin and Posen, 1997;Bernanke, et al, 1999;Fraga, et al, 2003). Critiques however contend that there are better alternatives to this approach and that the gains from inflation targets are dubious (McCallum, 1996;Svensson, 1997). ...
Article
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Inflation targeting has been adopted as a monetary policy framework by many economies-particularly emerging and advanced countries. Although several researchers have argued that it is a recommended policy measure to curb inflation in a prospectively high inflation-saddled economy, other scholars think otherwise. A critical review of the arguments for and against inflation targeting as a tool of ensuring price stability in presented in this paper. Accordingly, the paper points out that the targeting framework has been established and proven effective in several countries, but it is arguably not satisfactory enough. The paper recommends that a realistically attainable percentage-usually a flexible target range and a time-lag for achieving the target should be set. This is because over-ambitiousness on the part of monetary authorities can invariably lower the economic prestige, credibility and monetary policy independence of a country particularly if the set-target becomes unattainable. Notwithstanding, developing countries need to create an enabling environment in terms of strong financial markets and commitment to price stability alongside establishing a well-developed forecasting framework in order to reach the desired effects of inflation targeting .
... En medio de un régimen de metas de inflación, el banco central cuenta con diferentes herramientas que permiten incrementar la transparencia y ayudan a reducir las asimetrías de información en el mercado financiero. Como resultado, los pronósticos de inflación del mercado tienden a ser acertados (Bernanke et al., 1999;Geraats, 2002;Demertzis et al.2009;Crowe, 2010). ...
Article
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El objetivo de este trabajo es examinar los efectos de la comunicación del banco central sobre los errores de pronóstico de inflación para Colombia en el período 2008 – 2016. La metodología empleada consiste en un análisis econométrico compuesto por: i) La estimación de un modelo EGARCH; ii) El uso de Vector Auto regresivos (VAR); y iii) Un análisis de descomposición de varianza. Los resultados del trabajo muestran que los anuncios de política monetaria generan efectos importantes sobre los errores de pronóstico. La principal recomendación de política es que la comunicación es una herramienta que tiene el banco central para reducir los errores de pronóstico. En particular, la comunicación tiene el potencial para lograr una convergencia entre las expectativas de inflación y los objetivos perseguidos por el banco central. La principal limitación está relacionada con la falta de información más desagregada sobre las expectativas de inflación que no permiten analizar su reacción ante diferentes noticias macroeconómicas. La originalidad del trabajo consiste en analizar los errores de pronóstico de inflación con base en la inflación compensada de los títulos de deuda pública.
... Following the financial crises experienced under the fixed exchange rate regime during the 1990s, several emerging market economies (EMEs) adopted inflation targeting and a flexible exchange rate regime (Bernanke et al., 1999). While the latter acts as a shock absorber (Edwards & Yeyati, 2005) against the shocks that hit the economy, the monetary policy aims at price stability. ...
Article
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This study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low-and high-pressure periods. The domination of the high-pressure regime in the sample period indicates that depreciation pressure prevails in the Turkish foreign exchange market. During this regime, the pressure is aggravated by the rising inflation, credit growth, and VIX, and the falling of short-term external debt. Thus, in the presence of capital flows, the preferences of policy authorities regarding price stability and growth determine the course of the pressure. When these policy choices favor credit-driven growth, depreciation pressure in the foreign exchange market is exacerbated through the current account deficit.
... This means that 'the choice of a money-targeting regime is likely to be self-defeating' (ibid.). The very fact that over a long period of time no central bank has ever succeeded in fine-tuning money growth with precision (Bernanke et al. 1999) has raised many doubts about the possibility for monetary authorities to opt for a money-targeting regime, leading many mainstream commentators to argue that Poole's model overlooks the Lucas critique and it is vulnerable to a variant of Goodhart's law. Finally, the instrumental approach to money endogeneity is grounded in the empirical evidence that the IS function is more stable and predictable than the LM function: should the volatility of the goods market exceed the volatility of the money market, monetary aggregates would once again become the optimal monetary policy instrument. ...
Article
The 2010s have witnessed a new shift in central banking and, partially at least, in monetary economics and macroeconomic modelling. It is a fact that the endogenous money theory has been gradually clawing back popularity at the expense of the classical theory of interest rates, the financial intermediation view of banks, the money-multiplier story and the quantity theory of money. However, the loanable funds theory and the view of banks as pure financial intermediaries (sometimes coupled with the money-multiplier story) are still sometimes invoked. In addition, the dynamic process of creation, circulation and destruction of money is usually neglected. The point is that money endogeneity is still regarded by many mainstream economists as a mere empirical fact, not a key feature of capitalist market-based economies to be properly explained by a logically consistent theory. By contrast, dissenting economists have further advanced the endogenous money view through: (a) a generalised theory of the endogenous process of money creation; (b) the increasing popularity of modern monetary theory in the public debate; and (c) the development of aggregative stock–flow consistent models and agent-based stock–flow consistent models as an alternative to dynamic stochastic general equilibrium models.
... This broad interpretation of Taylor's framework, as opposed to the classic Taylor rule, also relates more closely to the inflation targeting approach to policy, discussed in Bernanke 6 and Mishkin (1997), and Bernanke, Laubach, Mishkin and Posen (1998). Indeed, as Bernanke and Mishkin stress, inflation targeting is a framework of "constrained discretion." ...
... Precisely because of hyperinflation that Avramović was called to deal with in 1993 and destruction of confidence in local currency at the time, Serbia still today has the highest level of Eurization in Central, Eastern, and South Eastern Europe 4 . Therefore, movement in exchange rate in Serbia, and other highly Euroized (and Dollarized) economies among developing and emerging countries (Ben S. Bernanke et al. 1999;Frederic S. Mishkin and Miguel A. Savastano 2001), may directly affect credit capacity of borrowers, deteriorate bank capitalization, and threaten financial stability of the country. In other words, if bank capital is expressed in local currency, as is the case in Serbia, weakening of the echange rate may deteriorate capital adequacy of banks and may even become a systemic event. ...
Article
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Avramović accepted a position of a governor of Central bank of Yugoslavia (at that time, consisted of Republic of Serbia and Republic of Montenegro) in 1994. He has successfully executed one of the most effective anti-inflation programs in an adverse financial environment and without international support. This paper deals with some of the basic problems Avramović has faced twenty five years ago, most of which have left visible consequences up to present day. They still nowadays present important weaknesses of Serbian monetary and financial system. First of those problems is low institutional independence of Serbian central bank. Second problem Avramović was facing was lack of confidence in the banking system. Third problem Avramović was facing at the time of his Program was lack of confidence in the local currency. These features, although less pronounced, still remain a burden for Serbian financial system. They increase lending risks, weaken monetary policy tools, and decrease rates of growth to this day.
... But cross-country differences in fiscal policies, institutions, and macroeconomic shocks are often large, and the length of time series since the last central bank regime change in most countries is small, particularly for the many countries that adopted inflation targeting in the 1990s. Thus, Bernanke, Laubach, Mishkin, and Posen (1999) note that drawing any conclusions from this type of exercise "is difficult and somewhat speculative" (p. 252); Bernanke et al. nevertheless present evidence that inflation expectations and inflation have come down in inflation-targeting countries, and by more than one would have expected ex ante, but in many cases their "control" countries, such as the U.S. and Australia (prior to the adoption of inflation targeting), also had similar experiences. ...
... Problems measuring the average level of inflation will therefore affect a central bank's choice of inflation target (whether explicit or implicit). Indeed, many argue that the Federal Reserve should seek to stabilize measured inflation at some level higher than zero, in part because the U.S. CPI tends to overstate changes in the cost of living (for example, Bernanke, et al., 1999). More problematically, if measurement errors in inflation vary over time in unknown ways, central banks could respond inappropriately to movements in observed inflation rates. ...
Article
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The paper examined the disclosure of explicit information by central banks using the transparency index method advocated by Ejiffinger and Geraats (2006) and Malik and Din (2008) as well as used by Egbuna (2013). A weighted transparency index of five key performance indicators (political, economic, procedural, policy and operational) was measure for each West African Monetary Zone (WAMZ) country. The result shows vast differences in the weighted transparency indexes across countries. The Gambia, Ghana and Nigeria are relatively transparent with overall weighted indexes of 9.5, 11 and 11.5. On the other hand transparency appears to be weak in Guinea, Liberia and Sierra Leone with indexes of 5.5, 2.0 and 6.0. This underscores the need to enhance central bank transparency in these countries.
Thesis
Les pays du Moyen-Orient et d’Afrique du Nord sont connus pour leurs richesses et leur diversité, conséquence d’une histoire économique et politique longue de plusieurs décennies. Ils s’étendent sur une vaste étendue allant du golfe Persique à l'est, jusqu’à l'Océan Atlantique à l'ouest. Cette région appelée parfois MENA (Middle East and North Africa) comprend la plus grande partie du Sud-Ouest de l'Asie et l'Afrique du nord. Elle inclut sur le continent asiatique l’Iran, la Turquie et tous les pays arabes. En Afrique du nord, elle inclut l’Égypte, la Tunisie, la Libye, le Maroc et l'Algérie.Cette thèse commence par une première partie consacrée à la géographie et l’histoire des principaux pays de la région en commençant par les dernières décennies vécues par l’Empire Ottoman. Dans la deuxième partie nous présentons un panorama économique et social des pays de la zone.Dans la troisième partie nous nous concentrons sur la politique monétaire. Cette politique est l'une des politiques économiques les plus importantes, car son succès est sensé contribué à la réussite et au développement d’autres politiques. Nous analysons les relations problématiques entre le gouvernement au pouvoir exécutif et la Banque centrale en tant qu’autorité monétaire.
Conference Paper
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The paper analyzes the regime of inflation targeting which, unfortunately, has a number of deficiencies. One of them is that inflation targeting is powerless toward imported inflation. This problem is especially important in import dependent countries. The paper suggests the notion of an imflation index which reflects the dynamics of imported product prices in the domestic market where an important role is devoted to the national currency exchange rate. The paper suggests a complex inflation targeting when monetary policy indicators are both inflation and imflation.
Article
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Since the 1980s and 1990s, Morocco has made great efforts to consolidate its monetary policy strategy. Going through the strategy of targeted monetary aggregates until the arrival of BAM's autonomous status in 2006. Currently, BAM uses a multi-criteria monetary strategy as a diagnostic framework for inflation risk. For Morocco to use an inflation targeting strategy, it must meet certain operational and institutional conditions. This article will provide a scientific basis for different approaches that can identify the problems of BAM's strategy as a whole and will make a contribution that can be used for applied research purposes.
Chapter
Notenbanken sollten eine regelgebundene Politik verfolgen, damit ihre Entscheidungen transparent, vorhersehbar und überprüfbar sind. Allerdings können Notenbanken die wirtschaftliche Entwicklung nicht direkt steuern. Zwischen dem Einsatz geldpolitischer Instrumente und den Wirkungen auf Preisniveau, Sozialprodukt und Beschäftigung liegen lange und variable Wirkungsverzögerungen.
Article
This article aims to estimate a forward-looking reaction function for the Central Bank of the Republic of Turkey (CBRT) considering possible asymmetries in the reaction function. For this purpose, it uses quarterly data over the period 2006:1–2018:1 and performs the nonlinear autoregressive distributed lag (NARDL) cointegration test. The findings obtained from the NARDL test indicate that the CBRT has an asymmetric reaction function and considers increases in inflation and decreases in output while adjusting short-term interest rates. Theoretical and practical implications for these findings are also discussed. JEL Classification: C22, E52, E58
Article
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The article assessed the treatment effects of targeting inflation regime on the real output and consumer inflation persistence in both advanced and emerging market economies. An empirical analysis is based on data from 35 OECD and 40 emerging countries and covers inflation and non-inflation targets over the period 1990–2017. The results showed that inflation targeting (henceforth – IT) had no significant impact on the GDP per capita growth rate but slightly reduced the output volatility. This study founded out that full-fledged IT had the effect of slowing down consumer inflation and reducing its volatility. Moreover, in the OECD countries, the monetary framework had certain advantages during the Great Recession. The authors argued that in order to maintain price stability in emerging economies, a high level of central bank independence and accountability is required.
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I investigate using Structural Equation modelling (SEM) and a Structural VAR framework, the process by which Jamaica and four Latin American Inflation Targeting (IT) economies have conducted their disinflation paths. This informs the extent to which an official switch to a flexible IT regime would represent continuity with the present monetary policy strategy for Jamaica. First, a small SEM for all countries in the theme of Svensson (2000) is constructed. The modelling of the disinflation path is synthesized as; by setting a restrictive path of the nominal interest rate differential (for a given level of the exchange rate risk premium), the central bank is able to influence the changes in the nominal exchange rate so as to induce real appreciation and achieve disinflation. After taking into account the lag structure in each economy, we show how the monetary authorities in each economy have been able to gradually navigate their economies towards single-digit inflation using this strategy. The results show that our model with forward looking inflation and exchange rate expectations can adequately characterise the macroeconomic relationships at work, under a variety of exchange rate policies. The estimated models for each country are used to interpret the key features of monetary policy in each country and to identify the main channels of disinflation.
Article
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This article has endeavored to study in experimental survey, the effect of Central Bank Independence (CBI) on the output and inflation fluctuations in the Iranian economy, using vector Autoregressive (VAR) econometrics method. For this purpose, we started with the changes in output and inflation stability in bringing about good economic performance, over the period 1961-2014 years. The paper has introduced a new legal combined Central Bank Independence index, by the name of "Average (Mean) Index". According to the 40% amount of total on the base of this new index, it has been cleared that there was independence just during 1340-1361 period. The results of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) method indicated that the inflation and output variances trends were approximately inverse over this period, except in some short periods. The estimation of study model revealed the negative and significant of Central Bank Independence effect on output and inflation variances. It means an increase in Central Bank Independence will cause decreasing their fluctuations and will results more macroeconomic stability and better economic performance. According to the result of Variance Decomposition and analysis of Impulse- Response Functions, the positive impact of central bank independence on macroeconomic stability has been confirmed, but it was much more effective on the nominal sector and shrinking the inflation uncertainty than real sector and output instability.
Article
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The South African Reserve Bank (SARB) migrated to inflation targeting in 2000 and has since embarked on a trajectory of transparency. This has taken the shape of releasing Monetary Policy Committee (MPC) statements other forms of communication. This paper examines SARB's MPC statements' tone and sentiment between 2000 and 2021 using the Besigye-Segawa's TextBlob polarity and subjectivity calculator which measures central bank communication tone and sentiment using the Loughran-McDonald dictionary's word classification to gauge polarity and subjectivity. The study goes on to explore causality of SARB's MPC statements' tone and sentiment on inflation expectation results from the Bureau of Economic (BER) results survey. The systematic analysis shows a causality of SARB's MPC statements' tone and sentiment on succeeding BER's inflation expectations results therein justifying the need for effective communication as SARB's MPC communications' polarity and subjectivity ultimately have a causal effect on inflation expectations. therein justifying the need for effective communication. As central bank tone and sentiment studies are only emerging in many emerging and frontier markets, this study lays a foundation for future exploration of effects of central bank communication on the expectations channel.
Preprint
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The paper is intended, as far as possible, to give an exact insight into the theory of Relativity of Simultaneity in Labour Market Adjustment Policy to those readers who, from a general scientific and philosophical point of view, are interested in the theory, but who are not conversant with the mathematical apparatus of theoretical econometrics. The paper presumes a standard of education corresponding to that of a university matriculation examination, and, despite the shortness of the paper, a fair amount of patience and force of will on the part of the reader is seriously sought. The author has spared himself no pains in his endeavour to present the main ideas in the simplest and most intelligible form, and on the whole, in the sequence and connection in which they actually originated. In the interest of clearness, it appeared to me inevitable that I should repeat myself frequently, without paying the slightest attention to the elegance of the presentation. I adhered scrupulously to the precept of that brilliant theoretical econometrician H. Akaike, according to whom matters of elegance ought to be left to the tailor and to the cobbler. I make no pretence of having withheld from the reader difficulties which are inherent to the subject. On the other hand, I have purposely treated the empirical econometric foundations of the theory in a "step−motherly" fashion, so that readers unfamiliar with econometrics may not feel like the wanderer who was unable to see the forest for the trees. May the paper brings someone a few happy hours of suggestive thought!
Article
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In Africa, a number of countries like South Africa have adopted inflation targeting. In Nigeria, different monetary policy regimes have been adopted over the years with rather unsatisfactory success. This study examines inflation targeting in Nigeria and South Africa, using fully modified least square to estimate a modified Taylor rule for the period 1970 to 2016. The study unravels evidence of a significant response of inflation and squared inflation to policy interest rates in South Africa, but not in Nigeria. Overall, South Africa’s central bank places much emphasis on inflation targeting in setting interest rates, which Nigeria does not. Further, for South Africa, output gap is significant, while it is not significant for Nigeria. The study also reveals that exchange rate, openness to trade and international reserves play significant roles in central bank policy in both countries. In other words, there is need for central banks to adopt an eclectic approach, setting the monetary policy rule to adjust to any observed disequilibrium between output gap, inflation, exchange rate, foreign reserves and openness to trade.
Article
This study investigated whether global oil price changes, exchange rate, interest rate, and economic output exert symmetric or asymmetric pass-through effects on inflation in the Philippines. A Nonlinear Autoregressive Distributed Lag (NARDL) model was fitted to the observable data using quarterly observations from 1998 to 2019. Knowledge of these relationships is important in monetary policy setting in achieving targeted inflation; the Philippines adopted inflation targeting in 2002. The finding shows that world oil price shocks are still prominent and the most important determinants of inflation variations in the country. There is prima facie evidence on the short-run asymmetry of oil price changes to inflation. Exchange rate pass-through to inflation was very minimal in the short-run, and there is no long-run effect. Evidence that interest rate and demand shocks have a long-run asymmetric effect on inflation was found. These findings imply that monetary policy setting should account for the asymmetric effects of inflation determinants. Study results provide a deeper understanding of how positive and negative changes of inflation determinants affect actual inflation, which aids policymakers in achieving targeted inflation.
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The purpose of the article is to substantiate the possibility and necessity of the central bank’s monetary policy to stimulate investment and economic growth for developing economies on the example of the investment sphere and monetary policy in Belarus. It was determined that the impact of monetary regulation on investment and economic growth is achieved in the course of the central bank’s activities to maintain indicators of price and financial stability which reflect favourable conditions for investment. Price stability is achieved through the implementation of various central bank strategies such as targeting the exchange rate, money supply and inflation. These strategies are defined as the objectives of monetary policy. The article discusses the advantages of monetary regulation in comparison with fiscal regulation, and also contains an analysis of its practical implementation in the Republic of Belarus in the period 2000–2019. As a result of the study the economic and financial results of the strategies applied at different stages were determined, their consequences for the economy were substantiated, and the strategies that best affect the financial and economic indicators in the country were identified. For countries with a small open economy which includes Belarus maintaining price and financial stability is complemented by a set of measures to reduce the devaluation expectations of market entities and create a favorable foreign economic environment.
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امروزه نفت به‌عنوان یک کالای استراتژیک درصحنه بین‌المللی مطرح است. سهم قابل توجه نفت در درآمدهای کشور و تأثیر پذیری آن از سیاست‌های بازیگران اصلی بازار، سبب گردیده تا بررسی آثار سیاست‌های آنها بر قیمت نفت یکی از مهمترین حوزه‌های مطالعاتی انرژی باشد. شناخت سیاست‌های حوزه انرژی بازیگران مهم بازار نفت می‌تواند نقش بسزایی در خنثی نمودن اثرات نامطلوب سیاست‌های آنها بر کشور داشته باشد. هدف اصلی این مقاله، مطالعه تأثیر سیاست‌های دولت کنونی آمریکا، به عنوان بازیگر مؤثر بازار نفت، بر قیمت نفت خام شاخص، طی دوره زمانی ۲۰۱۸- ۲۰۱۷ می‌باشد. برای این منظور یک مدل اقتصادسنجی که در برگیرنده متغیرهای قیمت آتی نفت خام شاخص، نسبت تولید به مصرف نفت در آمریکا، شاخص دلار آمریکا، شاخص داو جونز و نسبت موجودی نفت آمریکا به خوراک پالایشگاه‌ها است، در نظر گرفته شد و با استفاده از رهیافت GARCHبرآورد گردید. نتایج نشان می‌دهند تغییرات شاخص داوجونز تأثیرات قابل توجهی بر روی قیمت نفت‌خام داشته است. همچنین، افزایش تولید نفت آمریکا سبب کاهش قیمت نفت خام شاخص این کشور نسبت به سایر نفت خام‌های شاخص، نظیر بازار اروپا شده و در نهایت، نتایج حاکی از آن هستند که سیاست‌های ترامپ از طریق افزایش تولید نفت و بهبود شاخص داوجونز، سبب تثبیت قیمت نفت در محدوده مد نظر آمریکا گردیده است. سیاست‌های حوزه انرژی دولت ترامپ با توجه به رونق صنعت نفت و توسعه نفت شیل به طور عمده بخش عرضه نفت را متأثر نموده و از این طریق تأثیرگذاری بر عرضه نفت موجب جریان کاهش قیمت نفت در بازار ‌گردیده است.
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Article
بررسی علل تغییر قیمت نفت و مدل سازی برای پیش بینی نوسانات آن، با توجه به جایگاه آن در اقتصاد ایران، همواره یکی از مهم ترین حوزه های مطالعاتی ادبیات اقتصاد ایران بوده است. با گسترش بورس های نفتی و بازار آتی های نفت، بازار نفت و در پی آن نظریه انتظارات قیمت، شکل گیری قیمت نفت خام را متحول ساخت. بدین صورت که در کوتاه مدت با تغییر در نرخ بهره، در اثر سیاست های پولی، جریان نقدینگی بین بازارهای مالی (پولی، اوراق قرضه و سرمایه) و بازار نفت، قیمت نفت خام را از مسیر بلندمدت خود منحرف می نماید. این مقاله به بررسی انحراف قیمت نفت خام از مسیر بلندمدت آن با توجه به روابط بین بازارهای مذکور در کوتاه مدت که به طور عمده ناشی از سیاست های پولی است، پرداخته است. بدین منظور از مدل جهش قیمت فیشر و نظریه سامئلسون با استفاده از داده های سری زمانی سال های 2013- 2005 م و روش گارچ آزمون می گردد. نتایج نشان می دهد اثر تعییر نرخ بهره بر نفت خام های شاخص (دوبی، عمان و برنت) منفی و تأثیر تغییر شاخص بازار سرمایه بر قیمت این نفت خام مثبت است. از مهم ترین علل تأثیر منفی افزایش نرخ بهره، افزایش هزینه های نگهداری و ذخیره سازی نفت خام و، در نتیجه، کاهش تقاضا برای آن در بازارهای نقدی است. همچنین تأثیر مثبت تغییر شاخص بازار سرمایه به سبب توسعه فعالیت های صنعتی که به نوبه خود می تواند منجر به افزایش تقاضا برای نفت خام در بازار گردد، قابل توضیح است.
Preprint
Whether a country's central bank independence (CBI) status has a lowering effect on inflation is a controversial hypothesis. To date, this question could not be answered satisfactorily because the complex macroeconomics structure that gives rise to the data has not been adequately incorporated into statistical analyses. We have developed a causal model that summarizes the economic process of inflation. Based on this causal model and recent data, we discuss and identify the assumptions under which the effect of CBI on inflation can be identified and estimated. Given these and alternative assumptions we estimate this effect using modern doubly robust effect estimators, i.e. longitudinal targeted maximum likelihood estimators. The estimation procedure incorporated machine learning algorithms and was tailored to address the challenges that come with complex longitudinal macroeconomics data. We could not find strong support for the hypothesis that a central bank that is independent over a long period of time necessarily lowers inflation. Simulation studies evaluate the sensitivity of the proposed methods in complex settings when assumptions are violated, and highlight the importance of working with appropriate learning algorithms for estimation.
Article
بررسی روابط بین نفت خام های شاخص با قیمت نفت خام ایران در بازارهای مختلف با قیمت نفت خام های شاخص در تبیین قیمت در این مناطق بسیار حائز اهمیت می باشد. بدین منظور با استفاده از داده های ماهانه سری زمانی سال‌های ۱۶- ۲۰۱۰ و روش گارچ به مدل سازی قیمت نفت خام سبک ایران در بازارشمال غرب اروپا پرداخته شد. پس از برآوردهای مختلف قیمت نفت خام سبک ایران در بازار فوق، نتایج حاصل از آن نشان می دهد که مدل دوم که در آن تغییرات قیمت نفت‌خام سبک ایران در بازار شمال غرب اروپا تابعی از اختلاف کیفی نفت‌خام سبک عربستان با ایران، تغییرات اختلاف قیمت نفت‌خام برنت موعددار با ICE۱ ، تغییرات قیمت نفت‌خام اورال رتردام و تغییرات کانتانگو یا بکواردیشن نفت‌خام برنت می باشد، دارای قابلیت پیش بینی دقیق تری نسبت به سایر مدل ها بوده است. البته متغیر اختلاف کیفی نفت‌خام سبک عربستان با ایران در بازار شمال غرب اروپا در این مدل معنادار نبود. اما با این وجود، نتایج آزمون مدل فوق نشان می دهد که متغیرهای در نظر گرفته شده در آن با خطای کمتری (۳/۱) می تواند مقادیر قیمت نفت خام سبک ایران در بازار شمال غرب اروپا را پیش بینی نماید.
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