A new test for the success of inflation targeting

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We propose a new test, derived from a set of variance decompositions of a structural VAR, for the success of inflation targeting. In contrast to standard sacrifice ratios this test considers changes in the structure of real and nominal shocks; second moment effects. We find strong support for IT wit...

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Autores principales: Powell, Andrew, Cohen Sabbán, Verónica, González-Rozada, Martín
Formato: Documento de trabajo acceptedVersion
Publicado: Universidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF) 2017
Materias:
Inflación
Acceso en línea:http://repositorio.utdt.edu/handle/utdt/6267
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R16320.500.13098-6267
record_format dspace
institution Universidad Torcuato Di Tella
institution_str I-57
repository_str R-163
collection Repositorio Digital Universidad Torcuato Di Tella
topic Inflación
spellingShingle Inflación
Powell, Andrew
Cohen Sabbán, Verónica
González-Rozada, Martín
A new test for the success of inflation targeting
description We propose a new test, derived from a set of variance decompositions of a structural VAR, for the success of inflation targeting. In contrast to standard sacrifice ratios this test considers changes in the structure of real and nominal shocks; second moment effects. We find strong support for IT with 7 of the 9 countries in our sample having negative “sacrifices” and many countries with “benefits”. However, we also find very different performances across IT countries.
format Documento de trabajo
acceptedVersion
author Powell, Andrew
Cohen Sabbán, Verónica
González-Rozada, Martín
author_facet Powell, Andrew
Cohen Sabbán, Verónica
González-Rozada, Martín
author_sort Powell, Andrew
title A new test for the success of inflation targeting
title_short A new test for the success of inflation targeting
title_full A new test for the success of inflation targeting
title_fullStr A new test for the success of inflation targeting
title_full_unstemmed A new test for the success of inflation targeting
title_sort new test for the success of inflation targeting
publisher Universidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF)
publishDate 2017
url http://repositorio.utdt.edu/handle/utdt/6267
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AT gonzalezrozadamartin anewtestforthesuccessofinflationtargeting
AT powellandrew newtestforthesuccessofinflationtargeting
AT cohensabbanveronica newtestforthesuccessofinflationtargeting
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bdutipo_str Repositorios
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