Does Inflation Targeting Always Matter for the ERPT? A robust approach - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue Journal of Macroeconomics Année : 2019

Does Inflation Targeting Always Matter for the ERPT? A robust approach

Résumé

This paper estimates the effects of different forms of inflation targeting (IT) in the exchange rate pass-through (ERPT). To this end, we first estimate the ERPT for a large sample of countries using state-space models. We then consider the adoption of an inflation targeting framework by a country as a treatment to find suitable counterfactuals to the actual targeters. By controlling for self-selection bias and endogeneity of the monetary policy regime, we confirm that the ERPT tends to be lower for countries adopting explicit IT. However, we uncover that older regimes, adopting a range or point with tolerance band and keeping inflation close to the target, outperform other IT regimes. We also show that IT is effective even with a relatively high inflation target or low central bank independence.
Fichier principal
Vignette du fichier
Lopez_Pourroy.pdf (1.3 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02082568 , version 1 (28-03-2019)

Identifiants

Citer

Antonia Lopez Villavicencio, Marc Pourroy. Does Inflation Targeting Always Matter for the ERPT? A robust approach. Journal of Macroeconomics, 2019, 60, pp.360-377. ⟨10.1016/j.jmacro.2019.04.004⟩. ⟨hal-02082568⟩
206 Consultations
218 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More