European Parliament Library

Inflation Targeting and Country Risk :, An Empirical Investigation, Armand Fouejieu, Scott Roger

The sovereign debt crisis in Europe has highlighted the role of country risk premia as a link between countries’ fiscal and external balances, financial conditions and monetary policy. The purpose of this paper is to estimate how adoption of inflation targeting (IT) affects spreads. It is hypothesized that country risk premia for IT countries (especially among emerging market economies) may be lower than for other countries owing to greater policy predictability and more stable long-term inflation. The findings suggest that IT reduces the risk premium, both through adoption of the IT regime, and through the observed track record in stabilizing inflation
Table Of Contents
Cover; Contents; I. Introduction; II. An Overview of Evidence on Determinants of the Country Risk Premium; III. Inflation Targeting and the Risk Premium; IV. The Analytical Framework; A. Model Specification; B. Data and Descriptive Analysis; Tables:; 1. Data availability on government bond yields; Figures:; 1. Bond yield spreads, debt, and GDP growth: Inflation targeters versus non-targeters; 2. Bond yield spreads and debt: emerging markets versus high income economies; C. Estimates and Results; 2. Determinants of Country Risk Premia; 3. Impact of Inflation Targeting on Country Risk Premia
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (31 p.)
Specific Material Designation
Form Of Item

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