Document Type : Research Paper

Authors

Faculty of Economics and Administrative Sciences, University of Mazandaran, Babolsar, Iran.

10.22099/ijes.2022.42428.1803

Abstract

This paper studies the main fiscal determinants of central bank credibility (CBC) from 1990 to 2014. Covering 25 inflation-targeting (IT) economies, we mainly focus on sovereign debt holders and fiscal rules since adopting the IT framework. As the CBC indicator is highly concentrated in the right tail of the distribution, the mean-based approaches are incapable of unearthing the fact that the effect of fiscal factors may be asymmetric across the distribution of the credibility index. In departing from the problem, we use a quantile regression method to estimate parameters over the entire conditional distribution of CBC. The asymmetric response using the quantile regression is state-dependent and conditional on the credibility distribution. Having provided a comprehensive survey on the fiscal factors potentially related to the credibility in the literature, we find that fiscal rules are almost prominent at the lower quantiles while debt holders' composition is strongly significant at the upper tails of CBC distribution. These findings are further supported by the slope equality tests, discussed in Koenker & Bassett (1982). These results could be attributed to the more sensitivity of the private sector expectations to the debt holders’ composition. Therefore, central bankers could reduce public expectations by taking into account the non-linear impact of fiscal factors on their credibility.

Keywords

Main Subjects

Article Title [Persian]

عوامل مالی تعیین کننده اعتبار بانک مرکزی: شواهدی از اقتصادهای هدفگذاری تورم

Authors [Persian]

  • الهام کمال
  • وحید تقی نژاد عمران

دانشکده اقتصاد و علوم اداری، دانشگاه مازندران، بابلسر، ایران.

Abstract [Persian]

در مطالعه حاضر عوامل مالی تعیین کننده اعتبار برای 25 کشور که چارچوب هدفگذاری تورم را به صورت رسمی پذیرفته اند در طی سالهای 2014-1990 مورد بررسی قرار میگیرد. از آنجایی که در این مقاله از رویکرد آینده نگر اعتبار بانک مرکزی استفاده میگردد و به شدت در سمت راست توزیع متمرکز است، رویکردهای مبتنی بر میانگین قادر به بیان تأثیر متقارن عوامل مالی در سراسر توزیع شاخص اعتبار نیستند. در راستای حل این مسئله، از رگرسیون کوانتایل برای برآورد پارامترها در کل توزیع شرطی اعتبار بانک مرکزی استفاده می‌گردد. نتایج نشان می‎دهند که واکنش نامتقارن اعتبار بانک مرکزی به عوامل مالی وابسته به وضعیت و مشروط به توزیع اعتبار است. قواعد مالی در دنباله‌های پایین توزیع اعتبار برجسته هستند در حالی که پولی کردن بدهی در کوانتایل های بالایی توزیع اعتبار تاثیرگذار می باشند. به عبارت دیگر، انتظارات بخش خصوصی به نحوه تامین مالی بدهی دولت حساسیت بیشتری دارد. بنابراین پیشنهاد می‎گردد که بانک‌های مرکزی با در نظر گرفتن تأثیر غیرخطی عوامل مالی بر اعتبار، انتظارات عمومی را کاهش دهند.

Keywords [Persian]

  • اعتبار بانک مرکزی
  • چارچوب هدفگذاری تورم
  • تعیین کنندگان مالی
  • رگرسیون کوانتایل
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