Information overflow between monetary policy transparency and inflation expectations using multivariate stochastic volatility models

Information overflow between monetary policy transparency and inflation expectations using multivariate stochastic volatility models

The forward-looking policy is useful for joint decision-making between public and monetary authorities. The study calculates the monetary policy transparency index, inflation expectations, and their volatility spillover effects at a data-driven angle. Optimization mechanisms of monetary policy trans...

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Bibliographic Details
Main Authors: Qizhi He, Mati ur Rahman, Cuihua Xie
Format: Article
Language:English
Published: Taylor & Francis Group 2023-12-01
Series:Applied Mathematics in Science and Engineering
Subjects:
forward-looking policy
multivariate stochastic volatility model
optimization mechanisms
decision-making
data-driven
Online Access:http://dx.doi.org/10.1080/27690911.2023.2253968

Internet

http://dx.doi.org/10.1080/27690911.2023.2253968

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