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 mo...

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Main Authors: Galvis Ciro, Juan Camilo, Anzoategui-Zapata, Juan Camilo
Format: Online
Language:spa
Published: Universidad Pedagógica y Tecnológica de Colombia 2019
Subjects:
Online Access:https://revistas.uptc.edu.co/index.php/cenes/article/view/7912
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author Galvis Ciro, Juan Camilo
Anzoategui-Zapata, Juan Camilo
author_facet Galvis Ciro, Juan Camilo
Anzoategui-Zapata, Juan Camilo
author_sort Galvis Ciro, Juan Camilo
collection OJS
description 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.
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spelling oai:oai.revistas.uptc.edu.co:article-79122022-06-17T21:35:06Z Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia Efectos de los anuncios de política monetaria y la credibilidad sobre las expectativas de inflación: evidencia para Colombia Galvis Ciro, Juan Camilo Anzoategui-Zapata, Juan Camilo inflation expectations monetary policy central banks econometrics expectativas de inflación bancos centrales política monetaria modelos econométricos 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. Este documento analiza los efectos de los anuncios del banco central sobre las expectativas de inflación para la economía colombiana. En particular, son estudiados los impactos de los pronunciamientos sobre la tasa de interés y los choques macroeconómicos sobre las tasas de inflación compensadas, dado el escenario de credibilidad de la política monetaria. La evidencia empírica es abordada por medio de un análisis de regresión con un modelo EGARCH para el período 2008-2016. Los resultados muestran que las expectativas de inflación responden a los anuncios de política. Además, los pronunciamientos fueron más efectivos en anclar las expectativas durante el período 2012-2016 y la mayor credibilidad de la política permitió que las expectativas fueran más estables frente a los choques externos. Universidad Pedagógica y Tecnológica de Colombia 2019-02-07 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer reviewed Article application/pdf text/xml https://revistas.uptc.edu.co/index.php/cenes/article/view/7912 10.19053/01203053.v38.n67.2019.7912 Apuntes del Cenes; Vol. 38 No. 67 (2019); 73-94 Apuntes del Cenes; Vol. 38 Núm. 67 (2019); 73-94 2256-5779 0120-3053 spa https://revistas.uptc.edu.co/index.php/cenes/article/view/7912/7612 https://revistas.uptc.edu.co/index.php/cenes/article/view/7912/9463 Copyright (c) 2019 Juan Camilo Galvis Ciro, Juan Camilo Anzoategui-Zapata http://creativecommons.org/licenses/by-nc-sa/4.0
spellingShingle inflation expectations
monetary policy
central banks
econometrics
expectativas de inflación
bancos centrales
política monetaria
modelos econométricos
Galvis Ciro, Juan Camilo
Anzoategui-Zapata, Juan Camilo
Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia
title Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia
title_alt Efectos de los anuncios de política monetaria y la credibilidad sobre las expectativas de inflación: evidencia para Colombia
title_full Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia
title_fullStr Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia
title_full_unstemmed Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia
title_short Effects of Monetary Policy Announcements and Credibility on Inflation Expectations: Evidence for Colombia
title_sort effects of monetary policy announcements and credibility on inflation expectations evidence for colombia
topic inflation expectations
monetary policy
central banks
econometrics
expectativas de inflación
bancos centrales
política monetaria
modelos econométricos
topic_facet inflation expectations
monetary policy
central banks
econometrics
expectativas de inflación
bancos centrales
política monetaria
modelos econométricos
url https://revistas.uptc.edu.co/index.php/cenes/article/view/7912
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