Monetary Policy and Inflation Expectations in Latin America: Long-run Effects and Volatility Spillovers
The current monetary policy framework in several Latin American countries, combining inflation targeting and a floating exchange-rate regime, has contributed to disinflation by anchoring expectations around low, stable levels. This paper uses co-integration analysis to estimate simultaneously a mone...
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| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2006
|
| Schriftenreihe: | OECD Economics Department Working Papers
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The current monetary policy framework in several Latin American countries, combining inflation targeting and a floating exchange-rate regime, has contributed to disinflation by anchoring expectations around low, stable levels. This paper uses co-integration analysis to estimate simultaneously a monetary reaction function and the determinants of expected inflation for Brazil, Chile, Colombia and Mexico in the post-1999 period. It also tests for the presence of volatility spillovers between the monetary stance and inflation expectations based on M-GARCH modelling. The results of the empirical analysis show that: i) there are long-term relationships between the interest rate, expected inflation and the inflation target, suggesting that monetary policy has been conducted in a forward-looking manner and helped anchor inflation expectations in the countries under examination, and ii) greater volatility in the monetary stance leads to higher volatility in expected inflation in Brazil, Colombia and Mexico, suggesting that interest-rate smoothing contributes to reducing inflation expectations volatility. No volatility spillover effect was detected in the case of Chile |
| Beschreibung: | 1 Online-Ressource (26 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/416820683181 |
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| spelling | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers Organisation for Economic Co-operation and Development = Politique monétaire et anticipations d'inflation en Amérique latine : Effets à long terme et spillovers de volatilité / Organisation de coopération et de développement économiques Politique monétaire et anticipations d'inflation en Amérique latine Paris OECD Publishing 2006 1 Online-Ressource (26 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Economics Department Working Papers The current monetary policy framework in several Latin American countries, combining inflation targeting and a floating exchange-rate regime, has contributed to disinflation by anchoring expectations around low, stable levels. This paper uses co-integration analysis to estimate simultaneously a monetary reaction function and the determinants of expected inflation for Brazil, Chile, Colombia and Mexico in the post-1999 period. It also tests for the presence of volatility spillovers between the monetary stance and inflation expectations based on M-GARCH modelling. The results of the empirical analysis show that: i) there are long-term relationships between the interest rate, expected inflation and the inflation target, suggesting that monetary policy has been conducted in a forward-looking manner and helped anchor inflation expectations in the countries under examination, and ii) greater volatility in the monetary stance leads to higher volatility in expected inflation in Brazil, Colombia and Mexico, suggesting that interest-rate smoothing contributes to reducing inflation expectations volatility. No volatility spillover effect was detected in the case of Chile Economics https://doi.org/10.1787/416820683181 Verlag kostenfrei Volltext |
| spellingShingle | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers Economics |
| title | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers |
| title_alt | Politique monétaire et anticipations d'inflation en Amérique latine |
| title_auth | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers |
| title_exact_search | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers |
| title_exact_search_txtP | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers |
| title_full | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers Organisation for Economic Co-operation and Development = Politique monétaire et anticipations d'inflation en Amérique latine : Effets à long terme et spillovers de volatilité / Organisation de coopération et de développement économiques |
| title_fullStr | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers Organisation for Economic Co-operation and Development = Politique monétaire et anticipations d'inflation en Amérique latine : Effets à long terme et spillovers de volatilité / Organisation de coopération et de développement économiques |
| title_full_unstemmed | Monetary Policy and Inflation Expectations in Latin America Long-run Effects and Volatility Spillovers Organisation for Economic Co-operation and Development = Politique monétaire et anticipations d'inflation en Amérique latine : Effets à long terme et spillovers de volatilité / Organisation de coopération et de développement économiques |
| title_short | Monetary Policy and Inflation Expectations in Latin America |
| title_sort | monetary policy and inflation expectations in latin america long run effects and volatility spillovers |
| title_sub | Long-run Effects and Volatility Spillovers |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/416820683181 |