Does Inflation Targeting Help Information Transmission?

Das, S and Surti, J and Tomar, S (2020) Does Inflation Targeting Help Information Transmission? Working Paper. SSRN.

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Abstract

This paper studies the informational impact of inflation targeting on financial market volatility in an emerging market context by using a novel monetary policy regime-switching approach. We find that the changeover to inflation targeting in India did not result in a greater impact of monetary policy surprises on bond and equity market volatility. We rule out financial frictions as a factor driving our results. Our evidence-based textual analysis of central bank policy announcements shows an increased focus on inflation, but not on growth, possibly explaining why the equity market impact of monetary policy announcements remained weak even after inflation targeting.

Affiliation: Indian School of Business
ISB Creiators:
ISB Creators
ORCiD
Tomar, S
UNSPECIFIED
Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Inflation Targeting, Central Bank Communication, Monetary Policy
Subjects: Financial Management
Finance
Depositing User: Gurusrinivasan K
Date Deposited: 12 May 2021 01:02
Last Modified: 12 May 2021 01:02
URI: https://eprints.exchange.isb.edu/id/eprint/1477
Publisher URL: https://dx.doi.org/10.2139/ssrn.3701541
Publisher OA policy: https://dx.doi.org/10.2139/ssrn.3701541
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