Has inflation targeting changed the conduct of monetary policy?

Jerome Creel and Paul Hubert

SciencePo Working papers Main from HAL

Abstract: We aim at establishing whether the institutional adoption of inflation targeting has changed the conduct of monetary policy. To do so, we test the hypothesis of inflation targeting translating into a stronger response to inflation in a Taylor rule with three alternative econometric models: a structural break model, a time-varying parameter model with stochastic volatility, and a Markov-switching VAR model. We conclude that inflation targeting has not led to a stronger response to inflation in the reaction function of the monetary authority. This result suggests that inflation targeting being meant to anchor inflation expectations through enhanced credibility and accountability, it may enable a central bank to stabilize inflation without pursuing aggressive action toward inflation variations.

Keywords: Taylor Rule; Bayesian Inference; Time-Varying Parameters; Markov-Switching VAR (search for similar items in EconPapers)
Date: 2015-01
Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03411690
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Published in Macroeconomic Dynamics, 2015, 19 (01), pp.1 - 21. ⟨10.1017/S1365100513000199⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: HAS INFLATION TARGETING CHANGED THE CONDUCT OF MONETARY POLICY? (2015)
Working Paper: Has inflation targeting changed the conduct of monetary policy? (2015)
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: https://EconPapers.repec.org/RePEc:hal:spmain:hal-03411690

DOI: 10.1017/S1365100513000199

Access Statistics for this paper

More papers in SciencePo Working papers Main from HAL
Bibliographic data for series maintained by Contact - Sciences Po Departement of Economics ().