Inflation targeting and term premia estimates for Latin America

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Latin American Economic Review ; ISSN: 2196-436X ; Volume: 24 ; Year: 2015 ; Issue: 1 ; Pages: 1-21 ; Heidelberg: Springer

Classification and Topics

• Classification: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Central Banks and Their Policies ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financial Forecasting and Simulation
• Subject: Inflation targeting ; Term premia ; Affine term structure model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Blak, Andrew P. ; Rule, Garreth R. ; Rummel, Ole J.
• Event: Veröffentlichung
• (who): Springer
• (where): Heidelberg
• (when): 2015

Further information

• DOI: doi:10.1007/s40503-015-0017-7
• Handle: http://hdl.handle.net/10419/195218
• Last update: 10.03.2025, 11:43 AM CET