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Monetary policy and inflation expectations in Latin America: long-run effects and volatility spillovers

This paper uses multiple cointegration analysis to estimate simultaneously a monetary reaction function and the determinants of expected inflation for Brazil, Chile, Colombia, and Mexico. In addition, M-GARCH modeling is used to test for the presence of volatility spillovers between the monetary stance and inflation expectations. The analysis shows that there are long-term relationships between the interest rate, expected inflation, and the inflation target, and that greater volatility in the monetary stance increases the volatility of expected inflation in Brazil, Colombia, and Mexico..Printed journal

Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit The Ohio State University.,
Edisi -
Subjek Monetary policy
Inflation
Volatility
studies
Estimating techniques
Stochastic models
Cointegration analysis
ISBN/ISSN 222879
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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