تورم در مواجهه با شوک های نفتی
Abstract
JEL classification
۱٫ Introduction
۲٫ Determinants of inflation expectations and anchoring
۳٫ Methodology
۴٫ Data
۵٫ Analysis, findings and discussion
۶٫ Conclusion and policy implications
CRediT author statement
Acknowledgements
Appendix A
Appendix B. Supplementary data
References
Abstract
This paper applies a N-ARDL framework to two longstanding inflation targeting policy regimes in order to assess the relation between oil prices dynamics and inflation expectations and the further consequences created by a proximal ZLB situation. The application is based on data from January 1994 to June 2018 for New Zealand and the UK. We focus on oil price shocks as a variable of interest and this was found to have an asymmetric effect on inflation expectations. One further key finding is that the real effective exchange rate has significant impacts on inflation expectations and this is indicative of an exchange rate pass-through to inflation via an inflation expectations channel. In general, we find that inflation, exchange rate, money supply, output growth, unemployment and fiscal deficit/surplus have significant implications for inflation expectations. Inflation expectations are also influenced by their past behaviour indicating adaptive inflation expectations. This study contributes to the debate on the inflation targeting at ZLB.
Introduction
In this paper we explore the effects of zero lower bound interest rates (ZLB ) on inflation targeting policy regimes. A key purpose of central bank independence is to achieve price stability based on a rules and discretion compromise in the context of a delegated committee -based decision making process (Svensson, 1996; Bernanke et al . 2001 ; Mishkin, 2000 ) . 2 The committee is given an inflation target (subject to parameters) and empowered to use tools such as short term nominal interest rates to achieve the target. A primary intention is to “anchor” inflationary expectations (Williams, 2014) through continuity, coherency and consistency in policy and through strategic communication (providing an iterative development of decision making through policy) as the economic environment evolves (Bernanke, 2001 and 2003; Morgan, 2009 ) . Transparency and accountability are considered core institutional features for credible guidance. However, since the financial crisis , inflation targeting has been the subject of multiple critiques . 3 For example, it has been argued that a primary focus on price stability and frequent small adjustments to short term interest rates led to neglect of other factors that may cause price and financial stability to diverge, and this was one reason why asset price inflation could create the pricing problems and default contagions that contribute to an escalating banking crisis (Borio and White, 2004 ) . The subsequent development of macro -prudential policy is intended to rectify this problem. A macro -prudential policy orientation is intended to complement and not substitute for price stability policy tools. However, intuitively one would expect the efficacy of those tools to be affected by the environmental consequences that the new macro -prudentialism is intended to address (Schoenmaker, 2014).