Economics at your fingertips  

Inflation Targeting and Inflation Risk in Latin America

Bruno Frascaroli () and Wellington Charles Lacerda Nobrega

Emerging Markets Finance and Trade, 2019, vol. 55, issue 11, 2389-2408

Abstract: We analyzed the effects of inflation targeting (IT) implementation and functioning through the reaction function of monetary authorities from Latin American (LA) inflation targeters (ITers), e.g. Brazil, Chile, Colombia, Mexico, and Peru. We adapted the Value-at-Risk (VaR) and CoVaR to the Inflation-at-Risk ($$IaR$$IaR) and Co-Inflation-at-Risk ($$CoIaR$$CoIaR), respectively, to estimate the inflation at the extremes of its probability density functions. The results suggested that the IT was able to reduce inflation risk for all ITers. Chile and Peru are further ahead in terms of inflationary control, whereas in Brazil, it is more difficult. We propose the IaR and CoIaR as additional risk-management tools.

Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/1540496X.2018.1514297

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2020-07-28
Handle: RePEc:mes:emfitr:v:55:y:2019:i:11:p:2389-2408