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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2012.1
- 수록면
- 233 - 254 (22page)
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This paper studies the impact of inflation targeting on the evolution of inflation persistence and the effects of aggregation across expenditure categories. For this purpose we use disaggregate quarterly data on 12 major subcategories of the Korean CPI. We compare persistence in a sample covering 1986Q1-1997Q2 with persistence under inflation targeting between 1999Q1 and 2010Q2. The main results are threefold. First, the persistence of headline inflation as well as most CPI categories falls after the adoption of inflation targeting. Second, the evidence points to a large cross-sectional heterogeneity in the degree of inflation persistence. Third, while aggregation of heterogeneous categories induces additional persistence in the early part of the sample, a “reverse aggregation effect” is found in the second half: the persistence of the aggregate CPI inflation rate is significantly smaller than the average of persistence estimates across sectors. This is consistent with the Bank of Korea effectively stabilizing aggregate shocks under inflation targeting. Our paper provides the first evidence of disaggregate inflation persistence for an Asian emerging market economy.
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참고문헌 (28)
참고문헌 신청
Altissimo, F. / 2006 / Sectoral and Aggregate Inflation Dynamics in the Euro Area / Journal of the European Economic Association 4 (2) : 585 ~ 593
Altissimo, F. / 2009 / Can Aggregation Explain the Persistence of Inflation / Journal of Monetary Economics 56 (2) : 231 ~ 241
Andrews, D. W. K. / 1994 / Approximately Median-unbiased Estimation of Autoregressive Models / Journal of Business and Economics Statistics 12 (2) : 187 ~ 204
Babecky?, J. / 2009 / Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy / Czech Journal of Economics and Finance 59 (2) : 102 ~ 127
Bank of Korea / / Monetary Policy in Korea / Available on the Bank of Korea Website
Altissimo, F. / 2009 / Can Aggregation Explain the Persistence of Inflation / Journal of Monetary Economics 56 (2) : 231 ~ 241
Andrews, D. W. K. / 1994 / Approximately Median-unbiased Estimation of Autoregressive Models / Journal of Business and Economics Statistics 12 (2) : 187 ~ 204
Babecky?, J. / 2009 / Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy / Czech Journal of Economics and Finance 59 (2) : 102 ~ 127
Bank of Korea / / Monetary Policy in Korea / Available on the Bank of Korea Website
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