Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/1742
Title: Effect of Inflation Targeting on Inflation Uncertainty: A SWARCH Analysis
Authors: Taş, Bedri Kamil Onur
Ertuğrul, Hasan Murat
Keywords: Autoregressive Conditional Heteroskedasticity
 Output Growth
 Monetary-Policy
 Emerging Economies
 United-Kingdom
 Countries
 Volatility
 Regime
 Impact
 Panel
Issue Date: Dec-2013
Publisher: Wiley-Blackwell
Source: Tas, B. K. O., & Ertugrul, H. M. (2013). Effect of inflation targeting on inflation uncertainty: a SWARCH analysis. Australian Economic Review, 46(4), 444-459.
Abstract: We analyse the success of inflation targeting (IT) in decreasing inflation volatility by investigating inflation variance before and after IT. We contribute to the literature by implementing Markov?Switching AutoRegressive Conditional Heteroscedastic methodology to model inflation volatility. After determining the unbiased conditional variances of inflation in each inflation?targeting country, we investigate structural breaks in inflation variability by both analysing individual countries and conducting a panel data analysis. All of these methods conclude that IT helps most of the countries to achieve lower inflation uncertainty (volatility). We also examine the country?specific factors that determine the effectiveness of inflation?targeting adoption.
URI: https://doi.org/10.1111/1467-8462.12036
https://hdl.handle.net/20.500.11851/1742
ISSN: 0004-9018
Appears in Collections:İktisat Bölümü / Department of Economics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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