ASSESSING INFLATION TARGETING IN THE LATIN AMERICAN COUNTRIES IN THE PERIOD 2001-2014

ABSTRACT This paper aims to evaluate the performance of the monetary policy of inflation targeting regime in the Latin America countries from 2001 to 2014, with monthly data. For this purpose, a VEC model (vector error correction) is applied to running data to analyze the long-term function and the impulse response function. The results pointed out that the adoption of the target system has contributed to reduce the inflation rate and its volatility and the fluctuations in the rate of growth in activity level. The estimated parameters of the long-term speed of adjustment of the price index have indicated strong reaction by the monetary authorities to change inflation rate via short-term interest rate. These adjustments are also noted in the level of activity and the exchange rate for most countries, but with less level of speed. The impulse response function confirmed these results. Therefore, the monetary policy was effective to control inflation, especially in Peru, Colombia and Chile. In Brazil and Mexico, the effectiveness of monetary policy has only been observed more recently.

摘要 本文旨在基于2001年至2014年的月度数据，评估拉丁美洲各国通货膨胀目标制货币政策的实施绩效。为此，本文采用向量误差修正（Vector Error Correction，VEC）模型对样本数据进行分析，以考察长期函数与脉冲响应函数。研究结果表明，采用通货膨胀目标制有助于降低通货膨胀率及其波动幅度，同时缓解经济活动增速的震荡。价格指数长期调整速度的估计参数显示，货币当局会通过短期利率调整以应对通货膨胀率变动，反应力度较强。多数样本国家的经济活动水平与汇率层面也存在此类调整，但调整速度相对较慢。脉冲响应函数验证了上述研究结论。据此，货币政策在通胀管控方面成效显著，尤其在秘鲁、哥伦比亚与智利三国；而巴西与墨西哥的货币政策有效性则在较晚时期才得以显现。