Why Are Target Interest Rate Changes so Persistent?

被引：116

作者：

Coibion, Olivier ^{[1
,2
,3
]}

Gorodnichenko, Yuriy ^{[3
,4
]}

机构：

[1] Int Monetary Fund, Washington, DC 20006 USA

[2] Univ Texas Austin, Austin, TX 78712 USA

[3] NBER, Cambridge, MA 02138 USA

[4] Univ Calif Berkeley, Berkeley, CA 94720 USA

来源：

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS | 2012年 / 4卷 / 04期

基金：

美国国家科学基金会;

关键词：

MONETARY-POLICY; TECHNOLOGY SHOCKS; US; INFLATION; UNCERTAINTY; INFORMATION;

D O I：

10.1257/mac.4.4.126

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

While the degree of policy inertia in central banks' reaction functions is a central ingredient in theoretical and empirical monetary economics, the source of the observed policy inertia in the United States is controversial, with tests of competing hypotheses, such as interest-smoothing and persistent-shocks, being inconclusive. This paper employs real time data; nested specifications with flexible time series structures; narratives; interest rate forecasts of the Fed, financial markets, and professional forecasters; and instrumental variables to discriminate between competing explanations of policy inertia. The evidence strongly favors the interest-smoothing explanation and thus can help resolve a key puzzle in monetary economics. (JEL C53, E43, E47, E52, E58)

引用

页码：126 / 162

页数：37