Time-varying Inflation Dynamics and Monetary Policy Credibility: A Bivariate Approach with Stochastic Uncertainty
- 10.2991/mehss-18.2018.59How to use a DOI?
- Inflation, Credibility, Stochastic Uncertainty.
This paper addresses the properties of inflation dynamics, and proposes a univariate ARFIMA-EGARCH-in-mean model to accommodate inflation rates, expectations, volatilities and persistence. As the changes within inflation dynamics may be caused by the lack of monetary policy credibility, a generalized approach is developed to be concerned with the measurement of credibility. Through a bivariate model, all possibilities for relevant variables and effects can be capsuled in one framework simultaneously. And thus empirical results should deliver useful implications should for the conduct of central banks’ monetary policy.
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Ning Zeng PY - 2018/04 DA - 2018/04 TI - Time-varying Inflation Dynamics and Monetary Policy Credibility: A Bivariate Approach with Stochastic Uncertainty BT - Proceedings of the 2018 International Conference on Management and Education, Humanities and Social Sciences (MEHSS 2018) PB - Atlantis Press SP - 290 EP - 293 SN - 2352-5398 UR - https://doi.org/10.2991/mehss-18.2018.59 DO - 10.2991/mehss-18.2018.59 ID - Zeng2018/04 ER -