Abstract
We examine the statistical properties of inflation in a sample of inflation-targeting (IT) and non-IT countries. It is hard to distinguish in which monetary regime inflation is less volatile. Inflation became easier to forecast in both groups of countries after the introduction of IT. The improvement was greater for IT countries, but forecast errors remain smaller for non-IT countries. Our analysis is based on a stochastic volatility model proposed by Stock and Watson and its novel modification. Forecasts from the modified model are generally superior to both simple benchmarks and the original Stock and Watson model.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
