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Monetary Policy and Inflation Expectations in Latin America: Long-Run Effects and Volatility Spillovers.

Authors :
DE MELLO, LUIZ
MOCCERO, DIEGO
Source :
Journal of Money, Credit & Banking (Wiley-Blackwell); Dec2009, Vol. 41 Issue 8, p1671-1690, 20p, 5 Charts, 4 Graphs
Publication Year :
2009

Abstract

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. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
00222879
Volume :
41
Issue :
8
Database :
Complementary Index
Journal :
Journal of Money, Credit & Banking (Wiley-Blackwell)
Publication Type :
Academic Journal
Accession number :
45007174
Full Text :
https://doi.org/10.1111/j.1538-4616.2009.00273.x