论文标题
通货膨胀目标的中央银行的短期信誉指数：向巴西申请
A short term credibility index for central banks under inflation targeting: an application to Brazil
论文作者
论文摘要
本文使用通过混合因果 - 非纳卡萨尔自回归模型获得的预测密度来评估巴西通货膨胀靶向系统的统计可持续性。概率表明了目标系统的短期信誉，而无需对人们的信念进行建模。我们采用接收器操作特征曲线来确定预计银行可信的最佳概率阈值。我们还研究了包括专家对关键宏观经济变量的预测的附加值。
This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system with the tolerance bounds. The probabilities give an indication of the short-term credibility of the targeting system without requiring modelling people's beliefs. We employ receiver operating characteristic curves to determine the optimal probability threshold from which the bank is predicted to be credible. We also investigate the added value of including experts predictions of key macroeconomic variables.
