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2019
- ISIDORE Id: 10670/1.fd804b...
- hal: hal-01877454
- doi: 10.1016/j.jimonfin.2018.09.003
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jimonfin.2018.09.003
info:eu-repo/semantics/OpenAccess
Mots-clés
Inflation targeting uncovered interest parity forward bias puzzle emerging countries E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E31 - Price Level • Inflation • Deflation E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy F - International Economics/F.F3 - International Finance/F.F3.F31 - Foreign ExchangeSujets proches
Targeting, InflationCiter ce document
Dramane Coulibaly et al., « Inflation targeting and the forward bias puzzle in emerging countries », HAL SHS (Sciences de l’Homme et de la Société), ID : 10.1016/j.jimonfin.2018.09.003
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Résumé
Based on quarterly data on 31 emerging countries (among which 16 are inflation targeting countries) from 1990Q1 to 2014Q3, we obtain a strong support for the conjecture that the implementation of inflation targeting weakens the Fisherian relation between expected depreciation and the interest rate differential (uncovered interest parity condition) and thus is conducive to the appearance of the forward bias puzzle in emerging countries. We show that this reflects the performance of inflation targeting regimes in lowering the level and volatility of inflation. Our finding holds when controlling for country-specific effects, time-specific effects, global disinflation, exchange rate management, crises, and using different econometric techniques
