 Inflation targeting and expectation anchoring: Evidence from developed and emerging market economiesSangwon Suh and Daehwan Kim The North American Journal of Economics and Finance, 2021, vol. 58, issue C Abstract: Inflation expectations can be inferred from treasury yields data. Previous studies utilizing such data have found evidence for the role of inflation targeting in anchoring inflation expectations in a number of developed market economies. The goal of this paper is to extend the evidence for emerging market economies. We estimate inflation expectations from nominal treasury yields data and infer the anchoring of inflation expectations from the sensitivity of inflation expectations to current inflation rates. Our analysis shows that the effect of inflation targeting is statistically significant in emerging market economies as well as in developed market economies and that the magnitude is marginally greater in the former. Our results are robust to alternative specifications. Keywords: Inflation targeting; Anchoring of inflation expectations; Nominal treasury yields; The sensitivity of inflation expectations to current inflation rates; Emerging market economies (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001480 DOI: 10.1016/j.najef.2021.101535 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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