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Uncovering Financial Markets Beliefs About Inflation Targets

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  • Ruge-Murcia, F.J.

Abstract

This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter is subject to a targeting policy by the Central Bank.

Suggested Citation

  • Ruge-Murcia, F.J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Handle: RePEc:mtl:montec:9803
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    Cited by:

    1. Capistrán, Carlos, 2008. "Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1415-1427, November.
    2. Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020. "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 66-84.
    3. Pierre St-Amant & David Tessier, 2000. "Résultats empiriques multi-pays relatifs à l'impact des cibles d'inflation sur la crédibilité de la politique monétaire," Canadian Public Policy, University of Toronto Press, vol. 26(3), pages 295-310, September.
    4. de Freitas Val, Flávio & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gaglianone, Wagner Piazza, 2017. "Estimating the credibility of Brazilian monetary policy using a Kalman filter approach," Research in International Business and Finance, Elsevier, vol. 41(C), pages 37-53.
    5. Sun, Yuying & Wang, Shouyang & Zhang, Xun, 2018. "How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach," Economic Modelling, Elsevier, vol. 68(C), pages 506-513.
    6. Oleg Korenok & Stanislav Radchenko, 2005. "Expectations Anchoring in Inflation Targeting Regimes," Working Papers 0503, VCU School of Business, Department of Economics.
    7. Ruge-Murcia, Francisco J, 2003. "Inflation Targeting under Asymmetric Preferences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(5), pages 763-785, October.
    8. repec:ebl:ecbull:v:7:y:2007:i:13:p:1-7 is not listed on IDEAS
    9. Kozelský, Robert & Maitah, Mansoor & Cvik, Eva Daniela & Toth, Daniel & Flegel, Emil & Sindi, Ali & Zelenka, Ondřej, 2024. "Assessing the Effect of Monetary Policy on the Competitiveness of Agricultural Enterprises," Research on World Agricultural Economy, Nan Yang Academy of Sciences Pte Ltd (NASS), vol. 5(2), June.
    10. Francisco J. Ruge-Murciá, 2002. "A Prudent Central Banker," IMF Staff Papers, Palgrave Macmillan, vol. 49(3), pages 1-7.
    11. Bedri Kamil Onur Tas & Mustafa Cagri Peker, 2017. "Inflation Target Credibility: Do the Financial Markets Find the Targets Believable?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 1125-1147, December.
    12. Patrick Perrier, 1998. "Un examen de la crédibilité de la politique monétaire au Canada," Staff Working Papers 98-12, Bank of Canada.
    13. Flávio de Freitas Val & Wagner Piazza Gaglianone & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto, 2017. "Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model," Working Papers Series 463, Central Bank of Brazil, Research Department.
    14. Hamid Baghestani & Bassam Abual-Foul, 2010. "Evidence on Forecasting Inflation Under Asymmetric Loss," The American Economist, Sage Publications, vol. 55(1), pages 105-110, May.
    15. Bedri Kamil Onur Tas & Ishak Demir, 2014. "Keep your Word: Time-varying Inflation Targets and Inflation Targeting Performance," Manchester School, University of Manchester, vol. 82(2), pages 160-182, March.
    16. RUGE-MURCIA, Francisco J., 2002. "Some Implications of the Zero Lower Bound on Interest Rates for the Term Structure and Monetary Policy," Cahiers de recherche 2002-06, Universite de Montreal, Departement de sciences economiques.
    17. Kevin Aretz & David Peel, 2007. "Some implications of a quartic loss function," Economics Bulletin, AccessEcon, vol. 7(13), pages 1-7.

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    More about this item

    Keywords

    INFLATION ; EXPECTATIONS ; ECONOMIC MODELS;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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