Monetary Policy and Inflation Expectations in Latin America: Long-Run Effects and Volatility Spillovers

This paper uses multiple cointegration analysis to estimate simultaneously a monetary reaction function and the determinants of expected inflation for Brazil, Chile, Colombia, and Mexico. In addition, M-GARCH modeling is used to test for the presence of volatility spillovers between the monetary sta...

Full description

Saved in:

Bibliographic Details
Published in:	Journal of money, credit and banking Vol. 41; no. 8; pp. 1671 - 1690
Main Authors:	DE MELLO, LUIZ, MOCCERO, DIEGO
Format:	Journal Article
Language:	English
Published:	Malden, USA Blackwell Publishing Inc 01-12-2009 Wiley Periodicals Incorporated John Wiley & Sons, Inc Ohio State University Press
Subjects:	Analysis Anticipated inflation Brazil C22 Central banks Chile Cointegration Cointegration analysis Colombia E52 Economic expectations Emerging markets Estimating techniques Forecasts and trends GARCH models Inflation Inflation (Economics) Inflation (Finance) Inflation expectations Inflation rates Inflation targeting Interest rates Latin America M-GARCH Market trend/market analysis Mexico Monetary economics Monetary policy multiple cointegrating vectors O54 Output gaps Stochastic models Studies Variable interest rates Volatility volatility spillovers Latin America Brazil Colombia Mexico Chile
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!