Term structure evidence on interest rate smoothing and monetary policy inertia

• 成果类型: Article
• 署名作者: Rudebusch, GD
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(02)00149-6
• 发表日期: 2002
• 页码: 1161-1187
• 关键词: Monetary policy; term structure of interest rates; Taylor rule

摘要

Numerous studies have used quarterly data to estimate monetary policy rules or reaction functions that appear to exhibit a very slow partial adjustment of the policy interest rate. The conventional wisdom asserts that this gradual adjustment reflects a policy inertia or interest rate smoothing behavior by central banks. However, such quarterly monetary policy inertia would imply a large amount of forecastable variation in interest rates at horizons of more than 3 months, which is contradicted by evidence from the term structure of interest rates. The illusion of monetary policy inertia evident in the estimated policy rules likely reflects the persistent shocks that central banks face. (C) 2002 Elsevier Science B.V. All rights reserved.