The learning cost of interest rate reversals

• 成果类型: Article
• 署名作者: Ellison, Martin
• 署名单位: University of Warwick; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.017
• 发表日期: 2006
• 页码: 1625-1637
• 关键词: interest rate smoothing; learning; monetary policy

摘要

Many central banks in many time periods have sought to avoid interest rate reversals, but at present there is no good explanation of this phenomenon. Our analysis identifies a new learning cost associated with reversing the interest rate. In a standard monetary model with forward-looking expectations, data uncertainty and parameter uncertainty, a policy that frequently reverses the interest rate makes learning the key parameters of the model more difficult. Optimal monetary policy internalises this learning cost and therefore has a lower number of interest rate reversals. (c) 2006 Elsevier B.V. All rights reserved.