Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries

Bank for International Settlements

No 8 in BIS Papers from Bank for International Settlements

Abstract: The papers on the following pages were presented and discussed at a workshop on "Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries", held at the BIS on 15-16 January 2001. It was the first time that the BIS had arranged a meeting of this kind and twelve central banks from emerging market countries had accepted to participate in the workshop with papers or as discussants. Four papers by the BIS staff are also included in this volume. The workshop had three sessions on specific modelling aspects, with the first focusing on modelling the inflation process in emerging market countries; the second on estimating the impact of asset prices and the pass-through of exchange rate movements; and a third devoted to modelling the transmission mechanism. In a final session, participants discussed policy implications and areas of future work. Four main conclusions emerged from the papers and the discussion. First, lack of reliable data or of data series with sufficient length often force researchers to rely on small models rather than large, fully specified macro-models. Second, in virtually all countries, a major problem is finding a robust link between the output gap and the rate of inflation. Third, several papers found a marked decline in the pass-through of exchange rate changes into domestic prices, though some uncertainty remains as to the sustainability of the change. Fourth, several papers also found a surprisingly large influence of administered prices on overall inflation, raising concerns over the ability of central banks to tightly control inflation.

Date: 2001 Written 2001-11
ISBN: 92-9131-629-6
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Chapters in this book:

What determines inflation in emerging market economies? , pp 1-38

Madhusudan Mohanty and Marc Klau

Monetary policy rules in some emerging economies , pp 39-68

Renato Filosa

A note on the pass-through from exchange rate and foreign price changes to inflation in selected emerging market economies , pp 69-81

Dubravko Mihaljek and Marc Klau

Inflation targeting in Brazil: shocks, backward-looking prices, and IMF conditionality , pp 82-108

Joel Bogdanski, Paulo Springer de Freitas, Ilan Goldfajn and Alexandre Antonio Tombini

Price and wage inflation in Chile , pp 109-130

Carlos José Garcia and Jorge Enrique Restrepo

The role of asset prices in Indian inflation in recent years: some conjectures , pp 131-150

Partha Ray and Jorge Somnath Chatterjee

On price level stability, real interest rates and core inflation , pp 151-174

Sandor Valkovszky and János Vincze

Monetary policy and the transmission mechanism in Mexico , pp 175-209

Lorenza Martinez, Oscar Sanchez and Alejandro Werner

Transmission mechanisms of monetary policy in an economy with partial dollarisation: the case of Peru , pp 210-231

Zenon Quispe

The monetary transmission mechanism and the structural modelling of inflation at the National Bank of Poland , pp 232-251

Bohdan Kłos and Ewa Wróbel

Modelling the inflation process in Thailand , pp 252-263

Atchana Waiquamdee

Modelling the transmission mechanism of monetary policy in emerging market countries using prior information , pp 264-272

Jeffery D Amato and Stefan Gerlach

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