دانلود رایگان مقاله هدفگذاری تورمی و نرخ برابری بهره واقعی

Abstract

This paper investigates whether inflation-targeting influences real interest rate parity (RIP) by a bias correction approach under cross-sectional dependence. The recursive mean adjustment (RMA) method proposed by So and Shin (1999) and Shin and So (2001) is employed to correct the downward bias in the panel unit root tests and in the half-life estimates of real interest rate differentials for traded and non-traded goods. The empirical findings differ depending on whether we apply the RMA. More importantly, the empirical results show that as more homogeneous economies become involved in terms of inflation-targeting regime, stronger mean reversion and much a tighter confidence interval are present. Thus, inflation-targeting plays an important role in providing favorable evidence for long-run RIP.

4. Conclusion

In sharp contrast to the findings on RIP presented in previous studies, our empirical results indicate a tendency for real interest rate differentials for inflation-targeting countries to converge. All real interest rates for inflation-targeting countries consistently show that they have shorter half-lives, while the RIP conditions are more likely to hold than for all countries or for non-inflation-targeting countries.However, the empirical findings based on the IPS and CIPS tests somewhat depend upon whether we use RMA. In particular, while correcting for bias does not tremendously increase the tendency to reject the unit root hypothesis with cross-sectional dependence in our sample, the tests without the RMA show that the LS estimates of the parity from the IPS and CIPS tests seem to suffer from downward bias in the persistent coefficient, implying that the parity condition is estimated spuriously to be less persistent than it actually is. The empirical evidence presented in this study thus seem to confirm that inflation-targeting influences RIP and that stronger mean reversion as well as much a tighter confidence interval are present as more inflationtargeting countries become involved. Moreover, the evidence in favor of RIP for inflation-targeting countries does not seem to be sensitive to the choice of price index such as CPI and PPI, or to cross-sectional dependence. Further, it seems as though a test with RMA and crosssectional dependence provides somewhat qualitatively different results, but the empirical results depend on both inflation-targeting and the price index. The prices of traded goods are among the most likely to exhibit evidence of short-run and long-run PPP, because trade between European countries and major trading partners involves relatively low transaction costs and faces relatively stable non-tariff barriers to trade. As more homogeneous countries are involved in terms of inflationtargeting regime, a more stylized economic evidence for RIP is found. The empirical evidence in this study is interesting and in line with Svensson (2000), Mishkin and Schmidt-Hebbel (2007), and Rose (2014) in showing that inflation-targeting influences inflation-targeting and non-inflation-targeting policy regimes by helping them both create an effective safeguard for stable inflation and achieve lower variability in inflation as well as that in the real interest rate at a long horizon. In addition, it also plays an important role in providing support for RIP, implying that under inflation-targeting neither the cross-sectional dependence nor the price index are crucial for understanding the RIP condition.