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Inflation targeting matters!

  • Proponents of inflation targeting argue that such a strategy directly influences expectation formation processes in financial markets. This paper provides a novel test for the evidence that financial market expectations are formed differently under inflation targeting regimes. Using forecasts for the short-term interest rate, the inflation rate, and output growth for ten emerging markets in Latin-America, central and eastern Europe out of which six economies are inflation targeting economies we estimate expected Taylor-type rules. We find evidence for differences in the expectation formation process in the sense that the well-known Taylor principle fairly holds for countries which adopt an inflation targeting system, while for the other countries it does not.

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Metadaten
Verfasserangaben:Ralf Fendel, Michael Frenkel, Jan-Christoph Rülke
URN:urn:nbn:de:hbz:992-opus4-5111
Untertitel (Englisch):novel evidence from “ex ante” Taylor rules in emerging markets
Schriftenreihe (Bandnummer):WHU – Working Paper Series in Economics (WP 08/02)
Verlag:WHU - Otto Beisheim School of Management
Verlagsort:Vallendar
Dokumentart:Arbeitspapier
Sprache:Englisch
Datum der Veröffentlichung (online):20.11.2017
Datum der Freischaltung:20.11.2017
Freies Schlagwort / Tag:Erwartungsbildung; Inflationssteuerung; Taylor-Regel
Expectation formation; Inflation targeting; Taylor rule
Seitenzahl:33
Institute:WHU Economics Group / Chair of Monetary Economics
JEL-Klassifikation:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C33 Models with Panel Data
D Microeconomics / D8 Information, Knowledge, and Uncertainty / D84 Expectations; Speculations
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
Lizenz (Deutsch):Copyright for this publication