Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229062
Authors: 
Mozzanica, Mirco Balatti
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2448
Abstract: 
Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often overlooked in the literature. This paper compares in ation volatility among advanced open economies with in ation targeting monetary policy frameworks. The results of the empirical exercise using a panel dataset suggest that, over the last two decades, the volatility of in ation was similar among countries, even when controlling for monetary policy activity and other factors. In particular, there is only a weak and statistically not significant correlation between in ation volatility and country size. Also, point-targeting central banks (in contrast with range-targeters) and commodity exporters are only weakly associated with higher in ation swings. Equivalent conclusions are reached when decomposing in ation volatility in a transitory and a permanent component. I thus argue that small and large advanced open economies are exposed to global uctuations to a comparable extent. A range of robustness tests confirm that the results are not sensitive to methodological choices and the relationship was not altered by the Great Recession or the low interest rate environment.
Subjects: 
Prices
Volatility
Globalisation
Inflation targeting
JEL: 
E31
E42
E50
F10
F41
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4091-7
Document Type: 
Working Paper

Files in This Item:
File
Size
705.96 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.