Sticky inflation and the real effects of exchange rate-based stabilization

• 成果类型: Article
• 署名作者: Celasun, Oya
• 署名单位: International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.05.014
• 发表日期: 2006
• 页码: 115-139
• 关键词: inflation; disinflation; Inflation persistence; exchange rate pegs; consumption

摘要

This paper tests the empirical validity of the forward-looking pricing hypothesis using data from four exchange rate based stabilization (ERBS) episodes. It finds that backward-looking components of inflation play an important role in inflation dynamics, in some cases exceeding the importance of forward-looking components. The paper then shows that the presence of empirically relevant degrees of inflation stickiness increases the size of the real exchange rate appreciation predicted by an imperfect credibility model of ERBS. The 12% real appreciation predicted by the sticky inflation model is a 70% improvement over the predictions of the fully forward looking pricing setup, but as in other ERBS models, still falls short of matching the real appreciations observed in practice. (c) 2005 Elsevier B.V. All rights reserved.