Central Bank Credibility and Black Market Exchange Rate Premia: A Panel Time Series Analysis

Mammadov, Fuad (2014): Central Bank Credibility and Black Market Exchange Rate Premia: A Panel Time Series Analysis.

Abstract

The major goal of this study was analyze the effect of “credibility” shocks to the dynamics of inflation persistence in 20 countries using quarterly data for the period 1980-1998. To address this topic, we used recently developed heterogeneous panel time series methods and found that central bank credibility, as inferred from the black market premium, impacted the degree of inflation persistence associated with central bank interventions and that the magnitude of this effect was correlated with the degree of central bank autonomy.

• Item Type: MPRA Paper
• Language: English
• Keywords: Central bank credibility, black market exchange rate, heterogeneous dynamic panel, panel VAR
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies

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