Time series analysis of inflation targeting in selected countries

Ismail H. Genc; Minsoo Lee; Candelaria O. Rodríguez; Zachary Lutz

doi:10.1080/17487870701201578

Time series analysis of inflation targeting in selected countries

Ismail H. Genc, Minsoo Lee, Candelaria O. Rodríguez, Zachary Lutz

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

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 the countries which adopt IT.

Original language	English
Pages (from-to)	15-27
Number of pages	13
Journal	Journal of Economic Policy Reform
Volume	10
Issue number	1
DOIs	https://doi.org/10.1080/17487870701201578
Publication status	Published - Mar 2007
Externally published	Yes

Keywords

Forecasting
Inflation targeting
International comparison

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10.1080/17487870701201578

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Time series analysis of inflation targeting in selected countries

Abstract

Keywords

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