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Some Further Evidence on Interest-Rate Smoothing: The Role of Measurement Errors in the Output Gap

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  • Apel, Mikael

    ()
    (Monetary Policy Department, Central Bank of Sweden)

  • Jansson, Per

    ()
    (Monetary Policy Department, Central Bank of Sweden)

Abstract

It has been suggested that interest-rate smoothing may be partly explained by an omitted variable that relates to conditions in financial markets. We propose an alternative interpretation that suggests that it relates to measurement errors in the output gap.

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Bibliographic Info

Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 178.

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Length: 17 pages
Date of creation: 01 Mar 2005
Date of revision:
Handle: RePEc:hhs:rbnkwp:0178

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Related research

Keywords: Interest-rate smoothing; Measurement errors; Output gap;

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References

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  1. English William B. & Nelson William R. & Sack Brian P., 2003. "Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 3(1), pages 1-18, April.
  2. Rudebusch, Glenn D., 2002. "Term structure evidence on interest rate smoothing and monetary policy inertia," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(6), pages 1161-1187, September.
  3. Gerlach-Kristen Petra, 2004. "Interest-Rate Smoothing: Monetary Policy Inertia or Unobserved Variables?," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 4(1), pages 1-19, March.
  4. Castelnuovo, Efrem, 2003. "Taylor rules, omitted variables, and interest rate smoothing in the US," Economics Letters, Elsevier, Elsevier, vol. 81(1), pages 55-59, October.
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Cited by:
  1. Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the Interdependence between US Monetary Policy and the Stock Market," Memorandum, Oslo University, Department of Economics 12/2005, Oslo University, Department of Economics.
  2. Carrillo, J. & Fève, P. & Matheron, J., 2006. "Monetary Policy Inertia or Persistent Shocks?," Working papers, Banque de France 150, Banque de France.
  3. Gerberding, Christina & Seitz, Franz & Worms, Andreas, 2007. "Money-based interest rate rules: lessons from German data," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2007,06, Deutsche Bundesbank, Research Centre.
  4. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
  5. Glenn D. Rudebusch, 2005. "Monetary policy inertia: fact or fiction?," Working Paper Series, Federal Reserve Bank of San Francisco 2005-19, Federal Reserve Bank of San Francisco.
  6. Nicolas Pinkwart, 2013. "Quantifying The European Central Bank'S Interest Rate Smoothing Behavior," Manchester School, University of Manchester, University of Manchester, vol. 81(4), pages 470-492, 07.

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