An investigation of output variance before and during inflation targeting, Issues 2001-2215
International Monetary Fund, Western Hemisphere Department, 2001 - Business & Economics - 26 pages
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8-Statistics 88 Australia Canada Chile business cycle Canada Chile France Chile France Japan Clarida Clark's model cyclical component Deviation of CPI DF=10 8-Statistics disinflation economy Estimation Results European Union F tests France Japan Korea Friedman's plucking increase in output inflation and output inflation targeting frameworks inflation/output variance trade-off Japan Korea Netherlands Kalman filter Kim and Nelson Kingdom States Standardized Korea and Singapore Korea Netherlands Zealand model and Clark's model of output Model Residual Analysis monetary policy natural logarithms Netherlands Zealand Singapore Non-Inflation Targeters nul of unit percent confidence level Phillips-Perron potential output real GDP recession reduction in inflation reject the nul restricted version sample restricted serial correlation Squared standardized forecast Standard Deviation standardized forecast errors symmetric component symmetric shock targeters and six time-varying parameter models trade-off between inflation trend component trend growth component unit root United Kingdom variable variance of inflation variance of output variance of shocks white noise