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.
Verfasserangaben: | Ralf Fendel, Michael Frenkel, Jan-Christoph Rülke |
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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 |