Artikel
Inflation targeting and term premia estimates for Latin America
Inflation targeting has been widely adopted in Latin America. In this paper, we show evidence consistent with major beneficial effects from so doing, with falling term premia and anchored policy rate expectations. To do this we construct term premia estimates using the method suggested by Adrian et al. (2013) for selected inflation targeting Latin American economies. They use synthetic prices constructed from estimated yield curves to derive holding-period excess returns and condition on the principal components of the yields. This approach is extremely easy to implement and fast to calculate. We detect a small drop in interest rate expectations since the global financial crisis but longer term rates seem remarkably well anchored. There is also relatively low correlation between our estimated Latin American and US term premia.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Latin American Economic Review ; ISSN: 2196-436X ; Volume: 24 ; Year: 2015 ; Issue: 1 ; Pages: 1-21 ; Heidelberg: Springer
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
- Thema
-
Inflation targeting
Term premia
Affine term structure model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blak, Andrew P.
Rule, Garreth R.
Rummel, Ole J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Springer
- (wo)
-
Heidelberg
- (wann)
-
2015
- DOI
-
doi:10.1007/s40503-015-0017-7
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Blak, Andrew P.
- Rule, Garreth R.
- Rummel, Ole J.
- Springer
Entstanden
- 2015
Ähnliche Objekte (12)
Inflation Targeting in Latin America
Inflation risks and inflation risk premia
Inflation targeting
Monetary policy, expected inflation and inflation risk premia
On the Credibility of Inflation Targeting Regimes in Latin America
Inflation Targeting versus Monetary Targeting
Average Inflation Targeting
Econometric Inflation Targeting
Inflation zone targeting
Inflation Targeting versus Nominal Income Targeting
Is Inflation Targeting Still on Target? The Recent Experience of Latin America
Estimates of foreign exchange risk premia: A pricing Kernel approach
Inflation Targeting in Latin America
Inflation risks and inflation risk premia
Inflation targeting
Monetary policy, expected inflation and inflation risk premia
On the Credibility of Inflation Targeting Regimes in Latin America
Inflation Targeting versus Monetary Targeting
Average Inflation Targeting
Econometric Inflation Targeting
Inflation zone targeting
Inflation Targeting versus Nominal Income Targeting
Is Inflation Targeting Still on Target? The Recent Experience of Latin America
Estimates of foreign exchange risk premia: A pricing Kernel approach
Inflation Targeting in Latin America
Inflation risks and inflation risk premia
Inflation targeting
Monetary policy, expected inflation and inflation risk premia
On the Credibility of Inflation Targeting Regimes in Latin America
Inflation Targeting versus Monetary Targeting
Average Inflation Targeting
Econometric Inflation Targeting
Inflation zone targeting
Inflation Targeting versus Nominal Income Targeting
Is Inflation Targeting Still on Target? The Recent Experience of Latin America