Statistical Implications of Inflation Targeting
Front Matter

Front Matter

Author(s):
Carol Carson, Claudia Dziobek, and Charles Enoch
Published Date:
September 2002
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    Statistical Implications of Inflation Targeting

    GETTING THE RIGHT NUMBERS

    AND

    GETTING THE NUMBERS RIGHT

    EDITORS

    CAROL S. CARSON

    CHARLES ENOCH

    CLAUDIA DZIOBEK

    Papers presented at the

    IMF Seminar on Statistical Implications

    of Inflation Targeting, Washington, D.C.,

    February 28-March 1, 2002

    STATISTICS DEPARTMENT

    INTERNATIONAL MONETARY FUND

    © 2002 International Monetary Fund

    Production: IMF Graphics Section

    Cover design: Lai Oy Louie

    Figures: Theodore F. Peters, Jr.

    Typesetting: Choon Lee

    Cataloging-in-Publication Data

    Statistical implications of inflation targeting : getting the right numbers and getting the numbers right / editors, Carol S. Carson, Charles Enoch, Claudia Dziobek — [Washington, D.C.] : International Monetary Fund, Statistics Dept., 2002.

    p. cm.

    Papers presented at the IMF Seminar on Statistical Implications of Inflation Targeting, Washington, D.C., February 28-March 1, 2002. ISBN 1-58906-132-2

    1. Inflation (Finance) — Statistics — Congresses. 2. International Monetary Fund — Congresses. I. Carson, Carol S. II. Enoch, Charles. III. Dziobek, Claudia Helene, 1956– IV. International Monetary Fund. Statistics Dept.

    HG229.S73 2002

    Price: $42.50

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    Contents

    The following conventions are used in this volume:

    … to indicate that data are not available or not applicable;

    — to indicate that the figure is zero or less than half the final digit shown;

    – between years or months (for example, 1991–92 or January-June) to indicate the years or months covered, including the beginning and ending years or months;

    / between years or months (for example, 1991/92) to indicate a fiscal or financial year.

    “Billion” means a thousand million; “trillion” means a thousand billion.

    “Basis points” refer to hundredths of 1 percentage point (for example, 25 basis points are equivalent to ¼ of 1 percentage point).

    Minor discrepancies between constituent figures and totals are due to rounding.

    * * *

    As used in this report, the term “country” does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states but for which statistical data are maintained on a separate and independent basis.

    Foreword

    In recent years, macroeconomic policy formulation has moved to more explicit use of statistics; at the same time, added attention is being given to the development of forward-looking indicators. A prominent example is the monetary policy framework of inflation targeting that is being adopted by a growing number of countries. While many of the conceptual aspects of inflation targeting have been studied in detail in recent years, there has been little attention to statistical issues: Which statistics are needed? What does it take to compile them? And what is the role of the public sector, including the IMF, in encouraging good practice in compilation and use?

    Monetary policy committees, rather than focusing exclusively on money and credit aggregates, look increasingly at market-based statistics—for instance, at asset prices and market-derived implicit inflation forecasts. Such data have traditionally not been integrated into a country’s typical data framework. The Seminar on the Statistical Implications of Inflation Targeting, held in Washington, D.C., during February 28-March 1, 2002, provided an opportunity for statistical agencies and central banks to explore together the issues that are of common interest in this regard. The importance of developing new forms of collaboration between statistical agencies and central banks emerged as a central theme of the seminar.

    The seminar examined country experience in these areas. Some areas were identified where inflation targeting requires additional or more detailed statistics from those used hitherto. Even more important, seminar participants emphasized the greater discipline involved in handling information, the added transparency, and hence the enhanced focus on data quality. We hope that the seminar proceedings provide central banks, statistics agencies, academics, and outside observers with some new ideas and some guidance on the information aspects of inflation targeting regimes.

    Carol S. Carson

    Charles Enoch

    Claudia Dziobek

    Acknowledgments

    Many of our colleagues helped to put this volume together. The editors gratefully acknowledge overall guidance from Thomas McLoughlin; editorial support from James McEuen, Ellen Coughlin, and Joan Gibson; research support from Silvano Spencer and Mbaye Gueye; and administrative assistance from Niccole Braynen-Kimani, Elia Cadena, Janice Irving, Lidia Tokuda, and Kris Bengtson. Jennifer Kelly coordinated the administrative arrangements for the seminar.

    Abbreviations

    1993 SNA

    System of National Accounts 1993

    ADSPI

    Adjusted domestic supply price index

    ARCH

    Autoregressive conditional heteroskedasticity

    BDR

    Banco de la República (Colombia)

    BOM

    Bank of Mexico

    BOT

    Bank of Thailand

    bp

    Basis point

    BPM5

    Balance of Payments Manual, fifth edition

    BSP

    Bangko Sentral ng Pilipinas

    CAEMC

    Central African Economic and Monetary Union

    CAPM

    Capital asset pricing model

    CBB

    Central Bank of Brazil

    CBC

    Central Bank of Chile

    CCAPM

    Consumption-based capital asset pricing model

    CEPR

    Centre for Economic Policy Research

    CII

    Core inflation index

    CNB

    Czech National Bank

    COICOP

    Classification of individual consumption by purpose

    COLA

    Cost-of-living adjustment

    COLI

    Cost-of-living index

    COPOM

    Monetary Policy Committee (Brazil)

    CPI

    Consumer price index

    CPI-W

    Consumer price index for wage earners and clerical workers

    CPIX

    Consumer price index excluding interest rates on mortgage bonds or excluding fuel prices (South Africa)

    CPIX

    Consumer price index excluding fuel prices (Chile)

    CSO

    Central Statistical Office (U.K.)

    DANE

    Departamento Administrativo Nacional de Estadísticas (Colombia)

    DBCC

    Development Budget Coordination Committee (Philippines)

    DMO

    Debt Management Office (U.K.)

    DQAF

    Data Quality Assessment Framework (IMF)

    DSBB

    Dissemination Standards Bulletin Board (IMF)

    DSPI

    Domestic supply price index

    DFP

    Domestic final purchases

    EC

    European Commission

    ECB

    European Central Bank

    ECCU

    Eastern Caribbean Currency Union

    ECOFIN

    Economic and Financial Affairs Council

    ECU

    European currency unit

    EMU

    Economic and Monetary Union

    ERM

    Exchange rate mechanism

    ERM II

    Exchange rate mechanism, phase II

    ESA

    European System of Accounts

    ESCB

    European System of Central Banks

    EU

    European Union

    EUT

    European Union Treaty

    f.o.b.

    free-on-board

    FSI

    Financial soundness indicator

    FTSE

    Financial Times Stock Exchange

    G-10

    Group of Ten countries

    GDDS

    General Data Dissemination System (IMF)

    GDP

    Gross domestic product

    GTCF

    Gross fixed capital formation deflator

    GNP

    Gross national product

    HICP

    Harmonized index of consumer prices

    HM

    Her Majesty’s (U.K.)

    IBGE

    Institute of Geography and Statistics (Brazil)

    IFS

    International Financial Statistics (IMF)

    IICP

    Interim index of consumer prices (EU)

    IL

    Index-linked

    ILG

    Index-linked gilt

    INE

    Instituto Nacional de Estadísticas (Chile)

    IOPI

    Implicit output price index

    IRP

    Inflation risk premium

    ITS

    Inflation term structure

    LAPFs

    Life assurance and pension funds (U.K.)

    LIBOR

    London interbank offered rate

    MBIEs

    Market-based inflation expectations

    MBRE

    Market-based interest rate expectations

    MCI

    Monetary Conditions Index (IMF)

    MFR

    Minimum funding requirement

    MPC

    Monetary Policy Committee (U.K.)

    MPR

    Monetary Policy Report (Chile)

    MUICP

    Monetary Union index of consumer prices (EU)

    NDA

    Net domestic assets

    NIR

    Net international reserves

    NSDP

    National Summary Data Page

    NSO

    National Statistics Office (Philippines)

    OECD

    Organization for Economic Cooperation and Development

    OLS

    Ordinary least squares

    ONS

    Office for National Statistics (U.K.)

    OPEC

    Organization of Petroleum Exporting Countries

    PPI

    Producer price index

    QPM

    Quarterly Projection Model (Bank of Canada)

    RBA

    Reserve Bank of Australia

    REH

    Rational expectations hypothesis

    ROSC

    Report on the Observance of Standards and Codes (IMF)

    RODS

    Regime-oriented data coverage standard

    RPI

    Retail price index (U.K.)

    RPIAC

    Retail Prices Index Advisory Committee (U.K.)

    RPIX

    Retail price index excluding mortgage interest payments (U.K.)

    RSDF

    Real stochastic discount figure

    SDDS

    Special Data Dissemination Standard (IMF)

    SDR

    Special drawing right (IMF)

    SLA

    Service-level agreement (U.K.)

    SPC

    Statistical Program Committee

    TASE

    Tel Aviv Stock Exchange

    TIPS

    Treasury Inflation Protected Securities (U.S.)

    TIS

    Manual on Statistics of International Trade in Services

    VAR

    Vector auto regression

    VRP

    Variable roughness penalty

    WAEMU

    West African Economic and Monetary Union

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