Why Are Target Interest Rate Changes so Persistent?

• 成果类型: Article
• 署名作者: Coibion, Olivier; Gorodnichenko, Yuriy
• 署名单位: International Monetary Fund; University of Texas System; University of Texas Austin; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.4.4.126
• 发表日期: 2012
• 页码: 126-162
• 关键词: monetary-policy; technology shocks; US; inflation; uncertainty; INFORMATION

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)