A short term credibility index for central banks under inflation targeting: an application to Brazil

• Tác giả: Alain Hecq, Joao Issler, Elisa Voisin
• Ngôn ngữ: eng
• Ký hiệu phân loại: 020.981 Library and information sciences
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 195054

Tóm tắt

This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system with the tolerance bounds. The probabilities give an indication of the short-term credibility of the targeting system without requiring modelling people's beliefs. We employ receiver operating characteristic curves to determine the optimal probability threshold from which the bank is predicted to be credible. We also investigate the added value of including experts predictions of key macroeconomic variables.