Has 'inflation targeting' increased the predictive power of term structure about future inflation: Evidence from Turkish experience?
Küçük Resim Yok
Tarih
2011
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This article contributes to the vast literature on the predictive power of term structure on future inflation by focusing on an emerging market case: Turkey. The most important result emerging in our article is the following: Monetary policy change is an important determinant of the relationship between term structure and inflation to the extent that even the existence of the relationship critically depends on the nature of the monetary policy regime. In our case, the change in monetary policy is associated with the beginning of the implementation of an Inflation Targeting (IT) regime. While, before IT, the information in term structure does not provide any predictive power for future inflation; this phenomenon seems to be completely reversed after IT. Since the implementation of IT, the term structures of interest rates seem to have gained considerable forecasting power for future inflation. © 2011 Taylor & Francis.
Açıklama
Anahtar Kelimeler
Inflation, Inflation Targeting, Monetary Policy, Structural Break, Term Structure Of İnterest Rate, İnflation, İnterest Rate, Monetary Policy, Policy Analysis, Policy İmplementation, Targeting, Turkey
Kaynak
Applied Financial Economics
WoS Q Değeri
Scopus Q Değeri
N/A
Cilt
21
Sayı
20
