Název: Changes in Inflation Dynamics under Inflation Targeting? Evidence from Central European Countries
Autoři: Baxa, Jaromír ; Plašil, M. ; Vašíček, B.
Typ dokumentu: Výzkumné zprávy
Rok: 2012
Jazyk: eng
Edice: Working paper series, svazek: 4/2012
Abstrakt: The purpose of this paper is to provide a novel look at the evolution of inflation dynamics in selected Central European (CE) countries. We use the lens of the New Keynesian Phillips Curve (NKPC) nested within a time-varying framework. Exploiting a time-varying regression model with stochastic volatility estimated using Bayesian techniques, we analyze both the closed and open-economy version of the NKPC. The results point to significant differences between the inflation processes in three CE countries. While inflation persistence has almost disappeared in the Czech Republic, it remains rather high in Hungary and Poland. In addition, the volatility of inflation shocks decreased quickly a few years after the adoption of inflation targeting in the Czech Republic and Poland, whereas it remains quite stable in Hungary even after ten years’ experience of inflation targeting. Our results thus suggest that the degree of anchoring of inflation expectations varies across CE coutries.
Klíčová slova: Bayesian model averaging; inflation dynamics; time-varying parameter model

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2013/E/baxa-0395371.pdf
Původní záznam: http://hdl.handle.net/11104/0223480

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-155893


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Zprávy > Výzkumné zprávy