IMF-正式采用通货膨胀目标制的宏观效应

MacroEffectsofFormalAdoptionofInflationTargetingSurjitSBhallaKaranBhasin&PrakashLounganiWP/7IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2023©2023InternationalMonetaryFundWP/23/7IMFWorkingPaperResearchDepartmentMacroEffectsofFormalAdoptionofInflationTargetingSurjitS.Bhalla,KaranBhasin&PrakashLounganiAuthorizedfordistributionbyPrakashLounganiJanuary2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Weexaminetheimpactofformaladoptionofinflationtargeting(IT)oninflation,growthandanchoringofinflationexpectationsinadvancedeconomiesandemergingmarketsanddevelopingeconomies(EMDEs).OurpaperreportsseveralfindingsrelevanttoassessingthesuccessofITregimes.WefindthatwhiletheearlyadoptersofIT(pre-2000)allsawdeclinesininflationratesfollowingadoption,ITadopterssincethenhaveenjoyedsuchsuccessinonlyabouthalfthecases.Sincethereisnotmuchdifference,onaverage,betweenITandnon-ITcountriesinmeaninflation,inflationvolatilityandtheextentofinflationanchoring,itisnoteasytosortoutwhatroleIThasplayedinensuringgoodoutcomes;inparticular,wecannotruleoutthepossibilitythatthesuccessofITmaybedueto‘regressiontothemean’.Ourcountry-levelanalysis—usingtheSyntheticControlMethod(SCM)tocompareoutcomesinITcountriestoasyntheticcohort—showsthatITadoptiondeliverssignificantinflationgainsinaboutathirdofthecases.Atthesametime,wealsofindlimitedsupportfortheconcernthatadoptionofITsystematicallyleadstopoorergrowthoutcomes.Atatimewhencentralbanksarestrugglingtokeepinflationincheck,ourresultssuggestthatthebeliefthatITadoptionwillbesufficienttoachievethisgoalcannotbetakenforgranted.JELClassificationNumbers:E32,D83,D84Keywords:Inflationtargeting;Inflationexpectations;InflationforecastsAuthor’sE-MailAddress:sbhalla@,ploungani@1AbstractJELE32,D83,D84BhallaInternationalMonetaryFundthStNWWashingtonDC431,sbhalla@.Loungani:InternationalMonetaryFund,70019thStNW,Washington,DC20431,ploungani@.andtwe2 (King,2002)).34.Lowersacrificeratio:(Gonc¸alvesandCarvalho,2009)and(Huangetal.,2019)etalesntg t4yframeworkssfmarketsanddevelopingeconomies(EMDEs),anumberofwhomadoptedinflationgrowth.5adoption.nanfte6Sheridanmethodwhileadding2decadesofdataandexpandingtheiranalysistosreconomies(AEs)andtheremainderasemergingmarketsanddevelopingeconomieseTable1:MeanInflationinAdvancedEconomiesandEMDEsPeriodAllAEEMDEs1990-992000-092010-19Source:WorldBank7n:AEandEMDE:GapBetweenAE&EMinflationd8No.CountryChange1960-20191990-20191NewZealand1989↓198820122Canada19914.61.2↓198319953UK19927.12.4↓19812014419933.83.1↓199120005Sweden19937.41.2↓199219956CzechR.19979.25.5↓1999199971997↓198820008Poland1998↓19921997919998.67.0↓199519971019996.23.3↓1980201411Colombia1999↓199919991220006.97.01993200713Thailand20004.61.4↓198219991420013.33.51984200815Mexico2001↓1989200016Norway20012.61.4↓1989200417Peru20023.12.5↓199219961820025.14.5↓1987199519Guatemala20057.18.21994201520Indonesia20058.29.91998200021Romania2005↓2005200522Armenia20064.15.62001200123Turkey2006↓1999200324Ghana200712.915.51984199725Georgia20099.54.9↓20122012262009↓200220022720121.51.1↓1982200928Japan20131981199929Russia20146.78.72015201530Kazakhstan2015---NA--NA-31Ukraine20151997199732Argentina2016---NA--NA-3320167.75.0↓19792008tafrom9sAnchoringgroups(AEandEMDE).10ITRegimeITRegimeNonITRegimesNumberofCountriesMeanInflationMedianInflationITNon-ITITNon-ITITNon-ITAdvancedEconomies1990-995222000-097192010-19EmergingMarkets&LDCs9171990-9961232000-09191472010-1922139AdvancedEconomies1990-992000-092010-19EmergingMarkets&LDCs1990-992000-092010-19InflationVolatilityismeasuredbythestandarddeviationtloweraverage113-5-10-5-10-yearsaheadyearsaheadAdvancedEconomies1990-992000-092010-19EmergingMarkets1990-992000-092010-193-5-10-5-10-yearsaheadyearsaheadAdvancedEconomies1990-992000-092010-19EmergingMarkets1990-992000-092010-19rfne12∆π+n=α+θj+β1InflationSurprise+β2MedianInflation+ϵt(1)AdvancedEconomiesEmergingEconomiesITNon-ITITNon-ITConstantR-Square*p<0.05,**p<0.01,***p<0.001eITNon-ITITNon-ITConstantR-Square*p<0.05,**p<0.01,***p<0.001remainunchanged.13sCountryResultsXpost−Xpre=αo+α1D+α2Xpre+ϵ(2)mtsxttl14Xpost−XpreBall&SheridanOurComputationBall&SheridanOurComputationITDummyConstantR-SquareN20202020*p<0.05,**p<0.01,***p<0.001Note–(1)&(3)usequarterlydatawhile(2)&(4)useannualdata.15Xpost−XpreAEAEEMEMITDummyConstantR-SquareN2323101101*p<0.05,**p<0.01,***p<0.001x:EMDCsadvancedandemergingeconomies.16:EMDCsTheresultsinTable11bearthisout.Forbothgroups,theITdummyisnotXpost−XpreAEAEEMEMITDummy0.79LaggedGrowthConstant-086*R-Square0.08N2323101101*p<0.05,**p<0.01,***p<0.001xXit=µot+ϵitforIi=0(3)Xit=µ1t+ϵitforIi=0(4)Whereµ0t=µ1tAndσt=σ=σt217basedonIi=uo+u1X1i+ηirdevelopedbyAbadieandGardeazabalhasbecomeanimporhtoevidencefrom18itdidnotmakeadifferenceTheh19statistics—RMSPE,gapandp-values—forgrowth.Tadvancedandemergingmarketeconomies.r20tsS.NoCountryGrowthRMSPEGapT-testPvaluesRMSPEGapT-testPvalues1ralia23Canada45Colombia6Ghana7Guatemala89NANA10nesia1112Japan13Mexico14NewZealand15Norway16Peru1718Poland1920Sweden21Thailand22UnitedKingdom2321CountriesAdvancedEconomiesEmergingMarketsTyearsITperiodITanditssyntheticcounterpart.sf2122e6ConclusionntherehoweverinthedatathroughOurEMDEsToreviewourthoutimprovesmacroeconomicperformance(SectionV).t23tformallyadoptedIThaveneverthelessimprovedmonetarymanagementbyadoptingeed24CountryCountryCountryAAppendixA.1HighInflationEconomiesSNoSSNoCountryNo1Afghanistan2651Malawi2Albania2752Mali3Algeria28Gabon53Mexico4Azerbaijan29Ghana54Moldova530Guinea55Mongolia6Bulgaria31Guinea-Bissau56Myanmar7Burundi3257Nicaragua8Cambodia33Honduras58Niger9Cameroon34Hungary59Nigeria10Chad35Indonesia60Pakistan11China3661Paraguay12Colombia3762Peru13CostaRica38Jamaica63Poland1439Kenya64Romania15Croatia40KyrgyzRepublic65Russia16DemocraticRepublicoftheCongo41LaoPDR66SaoTomeAndPrincipe17DominicanRepublic42Latvia67Senegal18Ecuador4368Serbia19Egypt44ithuania69Seychelles20EquatorialGuinea45Madagascar70Slovenia2146Uruguay71SouthSudan22Tanzania47Venezuela72SriLanka23TheBahamas48VietNam73Sudan24Turkey49Yemen74Suriname25Ukraine50Zambia75SyrianArabRepublic25sionPrePerioddCountryBeginEndCountryBeginEndAdvancedEconomiesAdvancedEconomies1985199319942019Canada19851990Canada19912019Finland19851992Finland19932019NewZealand19851989NewZealand19902019Spain19851994Spain19952019Sweden19851993Sweden19952019UnitedKingdom19851991UnitedKingdom19932019Japan19851992Japan19932019Denmark19851992Denmark19932019ia19851992ia19932019Belgium19851992Belgium19932019France19851992France19932019Germany19851992Germany1993201919851992199320191985199219932019Netherlands19851992Netherlands19932019ortugal19851992ortugal19932019Norway19851992Norway19932019Switzerland19851992Switzerland199320191985201120122019EmergingMarketsEmergingMarketsArmenia19852015Armenia201620191985199819992019198519