Table A.2.2 Studies on EMDEs (some including advanced economies) (continued)

|Authors|Questions|Economies<br>(sample period<br>and frequency)|Methodology|Results|
|---|---|---|---|---|
|Davis (2014)|Does inflation<br>targeting anchor long-<br>term inflation<br>expectations?|14 advanced<br>economies and<br>22 EMDEs<br>(1990-2011,<br>monthly)|SVAR to test whether 12-month-ahead<br>inflation expectations respond to shocks<br>to inflation and oil prices|The introduction of inflation targeting is associated with a<br>statistically significant reduction in the response of short-term<br>inflation expectations to shocks in oil prices and observed<br>inflation.|
|de Mendonça<br>and Galveas<br>(2013)|<br>How does central bank<br>transparency affect the<br>central bank’s<br>commitment to<br>inflation targeting?|<br> <br>Brazil (2001-10,<br>monthly)|<br>Estimation of backward-looking, forward<br>looking, and hybrid New Keynesian<br>Phillips curves (regression of actual<br>inflation on inflation expectations, past<br>inflation, and other control variables)|-<br>Given the degree of central bank transparency, the forward-<br>looking and hybrid specifications of the Phillips curve are more<br>suitable for explaining current inflation.|
|de Mendonça<br>and Veiga<br>(2014)|<br>Are fiscal imbalances a<br>constraint to monetary<br>policy?|<br> <br>Brazil<br>(1999-2010,<br>monthly)|Regression of the deviation between<br>inflation and its target on the net public<br>debt-to-GDP ratio and other control<br>variables|<br>The deviation of realized inflation from target inflation tends to be<br>higher when the public debt-to-GDP ratio is larger.|
|De Pooter et<br>al. (2014)|Are long-term inflation<br>expectations in<br>EMDEs well anchored?|<br> <br>Brazil, Chile,<br>and Mexico<br>(2000s-2013,<br>daily)|Test for anchoring by regression of<br>changes in inflation expectations on news|<br>Long-term inflation expectations have become better anchored<br>during the decade to 2013, especially in Chile and Mexico.|
|IMF (2018)|How has the extent of<br>anchoring of inflation<br>expectations evolved in<br>recent decades?|<br>19 EMDEs<br>(2004-17,<br>biannual)|Facts about four measures of inflation<br>anchoring: absolute deviation of the<br>three-year-ahead inflation forecast from<br>target, variability of inflation<br>forecasts,dispersion of inflation forecasts,<br>and sensitivity to inflation surprises|<br>The degree of anchoring of inflation expectations has improved<br>significantly over the past two decades. However, there is<br>heterogeneity in the extent of anchoring across emerging markets.|
|Kabundi,<br>Schaling, and<br>Some (2015)|<br>Are long-term inflation<br>expectations of<br>individual agents well<br>anchored?|<br>South Africa<br>(2000-13,<br>quarterly)|Estimation of a market-perceived<br>inflation target of individual agents using<br>panel regression with dummy variables|<br>The inflation expectations of price setters (businesses and unions)<br>are higher than the upper bound of the official target band, while<br>the expectations of professional forecasters are within the target<br>band. In addition, price setters’ expectations are associated with<br>lagged inflation but analysts’ expectations are not.|

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