Inflation Targeting and the Anchoring of Inflation Expectations in the CEE Countries

Abstract

This paper studies the time evolution in the degree and level of anchoring of inflation expectations in four Central and Eastern European inflation targeting countries. The results suggest that the degree of anchoring of inflation expectations increased gradually in all countries over the last decade, while the level of implied inflation targets moved towards the official target. The extent of anchoring increased more strongly in the first years following the IT adoption and more gradually over the later period. We also find that smooth changes of the official target had a positive impact on anchoring.

Key words: Inflation targeting, Monetary policy, Credibility, Time-varying parameter VAR, Mixture innovation model.
JEL: E52, E58.

U radu se istražuje vremenska evolucija stepena i nivoa suzbijanja inflacionih očekivanja u četiri zemlje centralne i istočne Evrope. Rezultati ukazuju na to da se stepen suzbijanja inflacionih očekivanja povećao postepeno u svim zemljama u poslednjih deset godina, dok je podrazumevana inflacija kretala prema zvaničnom cilju. Obim suzbijanja se snažnije povećao u prvim godinama nakon usvajanja IT-a i postepeno u kasnijem periodu. Takođe smo zaključili da su postepene promene zvaničnog cilja pozitivno uticale na suzbijanje.

Ključne reči: ciljana inflacije, monetarna politika, kredibilitet, vremenski promenljivi parametar VAR, mešoviti model inovacija.