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Did the Exchange Rate Floor Prevent Deflation in the Czech Republic?

Author: Francesca G Caselli; International Monetary Fund. European Department,
Publisher: Washington, D.C. : International Monetary Fund, [2017] ©2017
Series: IMF working paper, WP/17/206.
Edition/Format:   eBook : Document : English
Summary:
To fight deflationary pressures at the zero lower bound, in November 2013, the Czech National Bank (CNB) introduced a one-sided floor on the exchange rate, as an additional monetary policy instrument. This paper investigates the impact of the FX floor on inflation in the Czech Republic, by comparing actual inflation with counterfactuals in the absence of the exchange rate floor. Three different empirical strategies  Read more...
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Details

Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Francesca G Caselli; International Monetary Fund. European Department,
ISBN: 1484320441 9781484320440
OCLC Number: 1005604701
Description: 1 online resource (29 pages)
Contents: ""Cover""; ""Contents""; ""I. Introduction""; ""II. The Exchange Rate Tool in the CNBâ#x80;#x99;s IT Framework""; ""III. Data and Stylized Facts""; ""IV. Empirical Methodologies""; ""A. An Event Study Approach""; ""B. A Difference-in-Difference Approach""; ""C. A Synthetic Method Approach""; ""V. Conclusion""; ""References""; ""Figures""; ""1. Evolution of CNB FX Operations""; ""2. Headline and Core Inflation""; ""3. Import Price Inflation""; ""4. Predicted and Actual Inflation""; ""5. Difference Between Predicted and Actual Inflation""; ""6. Predicted and Actual Inflation â#x80;#x93; Augmented Baseline"" ""7. Inflation in the Czech Republic vs other Countries""""8. Difference-in-Difference Estimates""; ""9. Leads and Lags""; ""10. Difference-in-Difference Estimation â#x80;#x93; Core Inflation""; ""11. Synthetic Control Estimates""; ""12. Placebo Test for Headline Inflation""; ""13. Synthetic Control for Inflation â#x80;#x93; Non-EMU Sample""; ""Tables""; ""1. Summary Statistics""; ""2. Baseline Results""; ""3. Leads and Lags""; ""4. Core Inflation Results""; ""5. Weights for the Synthetic Control Group""; ""6. Comparison of the Actual and Synthetic Series""; ""7. Country Weights""; ""Appendice""
Series Title: IMF working paper, WP/17/206.
Responsibility: by Francesca Caselli.

Abstract:

To fight deflationary pressures at the zero lower bound, in November 2013, the Czech National Bank (CNB) introduced a one-sided floor on the exchange rate, as an additional monetary policy instrument. This paper investigates the impact of the FX floor on inflation in the Czech Republic, by comparing actual inflation with counterfactuals in the absence of the exchange rate floor. Three different empirical strategies are implemented: an event study, difference-in-difference regressions and a synthetic control method. The empirical results provide evidence that the exchange rate floor was effective in fighting deflationary pressures and prevented inflation from going into negative territory. The magnitude of the effect ranges between 0.5 to 1.5 percentage points. The results are robust to different econometric specifications.

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