Time-varying Inflation Dynamics and Monetary Policy Credibility: A Bivariate Approach with Stochastic Uncertainty

DOI

10.2991/mehss-18.2018.59How to use a DOI?

Keywords

Inflation, Credibility, Stochastic Uncertainty.

Abstract

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.

Copyright

© 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/).

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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  -