인플레이션 타게팅 도입국 및 비도입국간의 환율, 물가에 대한 국제비교연구

A Comparison of Exchange Rate Pass-Through in Emerging Markets

This study focuses on the comparison of inflation environments between 10 inflation targeters and 7 non-inflation targeters during the period from 1990 to 2013 in order to find out how emerging countries are successful in price stabilization after adopting an inflation targeting policy. First, most emerging economies have experienced lower inflation levels and volatilities since adopting inflation targeting. Second, the long-run and short-run exchange rate pass-through into CPI of inflation targeters fall significantly in the inflation targeting period while consistent results do not appear in non-inflation targeting markets during the same period. In addition, inflation targeters have smaller long-run and short-run exchange rate pass-through into CPI than non-targeters. To examine how closely inflation environment changes are related with the inflation targeting adoption, Chow breakpoint test and rolling estimation approach are applied. The results demonstrate that exchange rate pass-through into CPI among inflation targeters fall persistently and apparently whereas those of non-inflation targeters do not show consistent directional changes. Those results are supportive evidence for Taylor (2000).