Monetary Policy and Inflation Expectations in Latin America: Long‐Run Effects and Volatility Spillovers
对巴西、智利、哥伦比亚和墨西哥四国，用协整分析估计货币政策反应函数和预期通胀的决定因素，并用M-GARCH模型检验货币政策立场与通胀预期之间的波动溢出效应。
This paper uses multiple cointegration analysis to estimate simultaneously a monetary reaction function and the determinants of expected inflation for Brazil, Chile, Colombia, and Mexico. In addition, M‐GARCH modeling is used to test for the presence of volatility spillovers between the monetary stance and inflation expectations. The analysis shows that there are long‐term relationships between the interest rate, expected inflation, and the inflation target, and that greater volatility in the monetary stance increases the volatility of expected inflation in Brazil, Colombia, and Mexico.