A Service of zbw A Nonparametric Approach to Evaluating Inflation- Targeting Regimes A Nonparametric Approach to Evaluating Inflation-Targeting Regimes A Nonparametric Approach to Evaluating Inflation Targeting Regimes Comments are Welcome A Nonparametric

Abstract

Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We use a variety of nonparametric test statistics to evaluate the inflationtargeting regimes of Australia, Canada, New Zealand, Sweden and the UK. We argue that a sensible approach of evaluation must rely on a variety of methods, among them nonparametric econometric methods, for robustness and completeness. Our evaluation strategy is based on examining three possible policy implications of inflation targeting: First, a welfare implication; second, a real variability implication. The welfare implication involves evaluating consumption and leisure per person by testing whether their distributions of levels and the growth rates remained unchanged under inflation targeting. Then we introduce nonparametric univariate and multivariate statistical methods to test whether the conditional variance of a variety of real variables, such as the real exchange rate depreciation rate, real GDP per capita growth rate in addition to private consumption per capita and leisure per capita growth rates, remained unchanged under inflation targeting, decreased or increased significantly. Third, we examine whether inflationtargeting policies eliminated boom-bust housing cycles. For control we also examine the US data during periods of high and low inflation before and after 1984. Terms of use: Documents in JEL Classification C02, C12, C14,E3