期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2005
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This study tests for and models non-linearities in inflation deviations from the target in five OECD countries that
adopted inflation targeting over the 1990s. Our tests reject the linearity hypothesis and we show that the
exponential smooth transition autoregressive (ESTAR) model is capable of capturing the non-linear behavior of
inflation misalignments. The extent of inflation deviations from the target varies across the OECD countries, with
countries that consistently undershoot the target having a rapid adjustment process, whereas countries that
overshoot the target have a slower revision back to equilibrium. Out-of-sample forecasts from the ESTAR model
outperform the Markov regime-switching model.
