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Inflation Forecast or Forecast(s) Targeting?

Abstrakt

The paper refers to L.E.O. Svensson’s concept of inflation forecast targeting (IFT) and its implementation by central banks of Sweden, Norway and the Czech Republic. The study focuses on (1) inflation forecasts published by selected central banks, i.e.headline inflation and core or monetary policy-relevant (MPR) inflation, which are made on the assumption of endogenous instrument rate, (2) one-year consumer inflation expectations, and (3) repo rate decisions. The aim of the paper is to investi gate whether MPR and core inflation forecasts (in addition to headline inflation forecasts) are us eful tools in implementing IFT. The authors take into consideration differences between fo recasts deviations from the inflation target, dependencies between forecasts and consumer inflation expectations and relationships between repo rate decisions and forecasts. The methodology used includes nonparametric tests and statistics (Sign Test, Wilcoxon Matched Pair Test, Nonparametric Correlation coefficients) and forecast errors analysis. The results are sufficiently positive to conclude that the implementation of IF T in central banking practice should be supplemented by forecasts of core inflation. The paper contributes to the literature on implementing monetary policy under the concept of IFT. It spotlights the importance of publication of core inflation forecasts that are not captured by other research undertakings, which tend to ignore the existence of them as such.

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pobrano 37 razy
Wersja publikacji
Accepted albo Published Version
Licencja
Copyright (Institute for Economic Forecasting (IPE))

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Informacje szczegółowe

Kategoria:
Publikacja w czasopiśmie
Typ:
artykuł w czasopiśmie wyróżnionym w JCR
Opublikowano w:
Romanian Journal of Economic Forecasting nr 21, wydanie 3, strony 42 - 56,
ISSN: 1582-6163
Język:
angielski
Rok wydania:
2018
Opis bibliograficzny:
Tura-Gawron K.: Inflation Forecast or Forecast(s) Targeting?// Romanian Journal of Economic Forecasting. -Vol. 21, iss. 3 (2018), s.42-56
Bibliografia: test
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  2. Batchelor, R.A. and Dua, P., 1987. The accuracy and rationality of UK inflation expectations: some quantitative evidence. Applied Economics. 19, pp.819-28. http://dx.doi.org/10.1080/00036848700000112 otwiera się w nowej karcie
  3. Batchelor, R.A. and Orr, A.B., 1988. Inflation expectations revisited. Economica. 55/219, 317-331. http://dx.doi.org/10.2307/2554010 otwiera się w nowej karcie
  4. Brubakk, L. et al., 2006. Finding NEMO: Documentation of the Norwegian economy model. Staff Memo Monetary Policy, Vol. 2006/6. Norges Bank. otwiera się w nowej karcie
  5. Carlson, J.A., 1975. Are price expectations normally distributed? Journal of the American Statistical Association. 70, 749-754. otwiera się w nowej karcie
  6. http://dx.doi.org/10.1080/01621459.1975.10480299 otwiera się w nowej karcie
  7. Carlson, J.A. and Parkin, M., 1975. Inflation expectations. Economica. 42, pp.123-38. http://dx.doi.org/10.2307/2553588 otwiera się w nowej karcie
  8. Clinton, K. et al., 2015. Inflation-Forecast Targeting; Applying the Principle of Transparency. IMF Working Papers 15/132. International Monetary Fund. otwiera się w nowej karcie
  9. Coats, W. Laxton D. and Rose, D., 2005. The Czech National Bank's Forecasting and Policy Analysis System. CNB Prague.
  10. Dowd, K., 2004. The Swedish Inflation Fan Charts: An evaluation of the Riksbank's Inflation Density Forecasts. Working Paper Nottingham University Business School, January. otwiera się w nowej karcie
  11. Giavazzi, F. and Mishkin, F., 2006. An evaluation of Swedish monetary policy between 1995-2005. Sveriges Riksbank, Stockholm.
  12. Łyziak, T., 2003. Consumer inflation expectations in Poland. ECB Working Paper 287. otwiera się w nowej karcie
  13. Skrove-Falsch, N. and Nymoen , R., 2011. The Accuracy of a Forecast Targeting Central Bank. Economics. Open Assessment E-Journal, Vol. otwiera się w nowej karcie
  14. http://dx.doi.org/10.5018/economics-ejournal.ja.2011-15 otwiera się w nowej karcie
  15. Svensson, L.E.O., 1997. Inflation forecasts targeting: implementing and monitoring inflations targets. European Economic Review, vol. 41(6), pp.1111-1146. http://dx.doi.org/10.1016/S0014-2921(96)00055-4 otwiera się w nowej karcie
  16. Svensson, L.E.O., 1999. Inflation targeting as a monetary policy rule. Journal of Monetary Economics, Vol. 43, No. 3, 607-654. DOI: http://dx.doi.org/10.1016/s0304- 3932(99)00007-0. otwiera się w nowej karcie
  17. Svensson, L.E.O. and Woodford, M., 2003. Implementing Optimal Policy through Inflation- Forecast Targeting. NBER Working Papers 9747, National Bureau of Economic Research. otwiera się w nowej karcie
  18. Svensson, L.E.O. and Tetlow, R., 2005. Optimal Policy Projections. International Journal of Central Banking, December, 177-207. otwiera się w nowej karcie
  19. Svensson, L.E.O., 2006. The instrument rate projection under inflation targeting: The Norwegian Example. CEPS Working Paper No. 127, Center for European Policy Studies. otwiera się w nowej karcie
  20. Svensson, L. E. O., 2009. Transparency under Flexible Inflation Targeting: Experiences and Challenges. Sveriges Riksbank. Economic Review, Vol 1/2009, 5-44. otwiera się w nowej karcie
  21. Svensson, L.E.O., 2013. Forward guidance in Theory and Practice: The Swedish Experience. SIFR-The Institute for Financial Research, CEPR & NBER, Cambridge, December. UND1X changes its name to CPIX., 2007. PRESS RELEASE, Sveriges Riksbank, Stockholm.
  22. Szyszko, M. and Tura, K., 2015. Can Inflation Forecast and Monetary Policy Path be Really Useful? The Case of the Czech Republic. EQUILIBRIUM. Quarterly Journal of Economics and Economic Policy, Vol 10 (3), 9-26. http://dx.doi.org/10.12775/EQUIL.2015.022 otwiera się w nowej karcie
  23. Szyszko, M., 2017. Central bank's inflation forecast and inflation expectations. A comparative analysis. Prague Economic Papers. Online version 25.01.2017. https://doi.org.10.18267/j.pep.614 otwiera się w nowej karcie
  24. Tura, K., 2015. Projekcja inflacji banku centralnego. Na skraju podejścia strategicznego i technicznego. Difin, Warszawa. ISBN 978-83-7930-959-7
  25. Tura-Gawron, K., 2016. Credibility of central banks inflation forecasts, GUT FME Working Papers Series A, No 7/2016(37). otwiera się w nowej karcie
Źródła finansowania:
  • Grant Preludium: Forecasting inflation on the basis of DSGE models in the implementation of inflation targeting in selected central banks contract No.: 2013/09/N/HS4/03766”
Weryfikacja:
Politechnika Gdańska

wyświetlono 115 razy

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