Inflation, inflation expectations and central bank communication in emerging markets

Abstract

ABSTRACT The paper studies inflation, inflation expectations, and central bank communication in emerging markets from Africa, Asia and Latin America. The analysis shows that superior central bank communication is associated with greater accuracy in the econometric modelling of inflation and inflation expectations using a benchmark univariate unobserved components time series model. The investigation explores the wider applicability of its approach by examining the United States, Norway, the United Kingdom and Switzerland.