An Investigation of Output Variance Before and During Inflation Targeting
International Monetary Fund, Dec 1, 2001 - Business & Economics - 27 pages
Since Taylor estimated a trade-off between inflation and output variance, it has been widely accepted that efforts to keep the inflation rate “too low and stable” will likely result in relatively larger output fluctuations. Following the generalized reduction in inflation variance in the 1990s, that concern was rekindled. This study estimates whether conditional output variance has changed in a sample of 12 countries. With the possible exception of Canada, there is no evidence of an increase in output variance. Either output variance has not changed (i.e., in Korea and Singapore) or has fallen (i.e., in Australia and New Zealand).
What people are saying - Write a review
We haven't found any reviews in the usual places.
Other editions - View all
Australia Canada Chile business cycle Canada Chile France Chile France Japan Clarida Clark’s model conditional variance countries cyclical component DF=10 Q-Statistics economy European Union France Japan Korea increase in output inﬂation and output inﬂation targeting frameworks inﬂation variance inﬂation/output variance trade-off INTERNATIONAL MONETARY FUND Japan Korea Netherlands Kalman filter Kim and Nelson Kingdom States Standardized Korea and Singapore Korea Netherlands Zealand model and Clark’s model of output monetary policy natural logarithms Netherlands Zealand Singapore nul of unit Parameters Australia Canada percent confidence level plucking model potential output Q-Statistics Q real GDP recession reduction in inﬂation reject the nul Residual Analysis restricted version sample restricted serial correlation significant Singapore Sweden Kingdom Squared standardized forecast standardized forecast errors Statistics Australia Canada symmetric component symmetric shock trade-off between inﬂation trend component trend growth component unit root United Kingdom United Statistics Australia United United Statistics variable variance of inﬂation variance of output Zealand Singapore Sweden