Effect of Inflation Targeting on Inflation Uncertainty: A SWARCH Analysis

Bedri Kamil Onur Tas*, Hasan Murat Ertugrul

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)


We analyse the success of inflation targeting (IT) in decreasing inflation volatility by investigating inflation variance before and after IT. We contribute to the literature by implementing Markov-Switching AutoRegressive Conditional Heteroscedastic methodology to model inflation volatility. After determining the unbiased conditional variances of inflation in each inflation-targeting country, we investigate structural breaks in inflation variability by both analysing individual countries and conducting a panel data analysis. All of these methods conclude that IT helps most of the countries to achieve lower inflation uncertainty (volatility). We also examine the country-specific factors that determine the effectiveness of inflation-targeting adoption.

Original languageEnglish
Pages (from-to)444-459
Number of pages16
JournalAustralian Economic Review
Issue number4
Publication statusPublished - Dec 2013
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics


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