Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies
PurposeThe purpose of this paper is to consider whether or not the introduction of inflation targeting (IT) impacts on the mean-reversion properties of inflation and output growth.Design/methodology/approachFocusing on eight Asian countries of which four are inflation-targeters, the authors employ a...
| Autores principales: | , , |
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| Formato: | Journal Article |
| Lenguaje: | Inglés |
| Publicado: |
Emerald Publishing Limited
2018
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/164790 |
| _version_ | 1855530813281533952 |
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| author | Valera, Harold Glenn A. Holmes, Mark J. Hassan, Gazi M. |
| author_browse | Hassan, Gazi M. Holmes, Mark J. Valera, Harold Glenn A. |
| author_facet | Valera, Harold Glenn A. Holmes, Mark J. Hassan, Gazi M. |
| author_sort | Valera, Harold Glenn A. |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | PurposeThe purpose of this paper is to consider whether or not the introduction of inflation targeting (IT) impacts on the mean-reversion properties of inflation and output growth.Design/methodology/approachFocusing on eight Asian countries of which four are inflation-targeters, the authors employ a two-state Markov-switching model which characterizes the behavior of inflation and output growth as regime-dependent based on periods of stationarity or non-stationarity.FindingsIn contrast to a literature that offers mixed findings, the authors find the presence of stationary inflation and output growth in one regime for all IT countries, except for South Korea which is characterized by stationary output growth in both regimes. In the cases of South Korea and Thailand, IT reduces the probability of inflation remaining in a non-stationary regime. IT increases the probability of South Korea remaining in a regime of low persistence output growth. While IT is important in understanding behavior, so are other considerations such as exchange rate volatility, as well as the Asian and global financial crises.Originality/valueIn contrast to other unit root tests of inflation and output growth, a novelty of the approach is that the authors obtain new insights in terms of two concepts of stationarity that allow for inflation and output growth to switch between stationary and non-stationary regimes (partial stationarity), or between stationary regimes of differing degrees of persistence (varied stationarity). |
| format | Journal Article |
| id | CGSpace164790 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | Emerald Publishing Limited |
| publisherStr | Emerald Publishing Limited |
| record_format | dspace |
| spelling | CGSpace1647902025-12-08T10:29:22Z Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies Valera, Harold Glenn A. Holmes, Mark J. Hassan, Gazi M. economic situation economics input output analysis asia PurposeThe purpose of this paper is to consider whether or not the introduction of inflation targeting (IT) impacts on the mean-reversion properties of inflation and output growth.Design/methodology/approachFocusing on eight Asian countries of which four are inflation-targeters, the authors employ a two-state Markov-switching model which characterizes the behavior of inflation and output growth as regime-dependent based on periods of stationarity or non-stationarity.FindingsIn contrast to a literature that offers mixed findings, the authors find the presence of stationary inflation and output growth in one regime for all IT countries, except for South Korea which is characterized by stationary output growth in both regimes. In the cases of South Korea and Thailand, IT reduces the probability of inflation remaining in a non-stationary regime. IT increases the probability of South Korea remaining in a regime of low persistence output growth. While IT is important in understanding behavior, so are other considerations such as exchange rate volatility, as well as the Asian and global financial crises.Originality/valueIn contrast to other unit root tests of inflation and output growth, a novelty of the approach is that the authors obtain new insights in terms of two concepts of stationarity that allow for inflation and output growth to switch between stationary and non-stationary regimes (partial stationarity), or between stationary regimes of differing degrees of persistence (varied stationarity). 2018-10-08 2024-12-19T12:54:19Z 2024-12-19T12:54:19Z Journal Article https://hdl.handle.net/10568/164790 en Emerald Publishing Limited Valera, Harold Glenn A.; Holmes, Mark J. and Hassan, Gazi M. 2018. Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies. JES, Volume 45 no. 5 p. 932-955 |
| spellingShingle | economic situation economics input output analysis asia Valera, Harold Glenn A. Holmes, Mark J. Hassan, Gazi M. Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies |
| title | Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies |
| title_full | Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies |
| title_fullStr | Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies |
| title_full_unstemmed | Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies |
| title_short | Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies |
| title_sort | does inflation targeting matter for the behavior of inflation and output growth some regime based evidence for asian economies |
| topic | economic situation economics input output analysis asia |
| url | https://hdl.handle.net/10568/164790 |
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