Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia

This paper refers to the literature on the effects of central bank announcements on inflation expectations in developing countries. In particular, based on the Colombian experience, we study the impact of interest rate announcements and macroeconomic shocks on breakeven inflation rates, given the monetary policy credibility scenario. The empirical evidence is implemented by regression analysis using an EGARCH model between 2008-2016. We find that inflation expectations respond to policy statements in Colombia. Our results show that the central bank pronouncements were more effective in anchoring expectations in the period 2012-2016 and the greater monetary policy credibility allows inflation expectations to be more stable before external shocks.

• Tipo de recurso: http://purl.org/coar/resource_type/c_6737
• Fecha de publicación: 2019
• Institución: Universidad Pedagógica y Tecnológica de Colombia
• Repositorio: RiUPTC: Repositorio Institucional UPTC
• Idioma: spa
• OAI Identifier: oai:repositorio.uptc.edu.co:001/11997
• Acceso en línea: https://revistas.uptc.edu.co/index.php/cenes/article/view/7912; https://repositorio.uptc.edu.co/handle/001/11997
• Palabra clave: inflation expectations; monetary policy; central banks; econometrics; expectativas de inflación; bancos centrales; política monetaria; modelos econométricos
• License: Copyright (c) 2019 Juan Camilo Galvis Ciro, Juan Camilo Anzoategui-Zapata