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

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Author Info

  • 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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File URL: http://www.riksbank.com/upload/WorkingPapers/WP_178.pdf
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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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Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Phone: 08 - 787 00 00
Fax: 08-21 05 31
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Web page: http://www.riksbank.com/
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Related research

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

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References

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  1. William B. English & William R. Nelson & Brian P. Sack, 2003. "Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules," The B.E. Journal of Macroeconomics, De Gruyter, vol. 0(1), pages 5.
  2. Petra Gerlach-Kristen, 2004. "Interest-Rate Smoothing: Monetary Policy Inertia or Unobserved Variables?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 0(1), pages 3.
  3. Efrem Castelnuovo, 2004. "Taylor rules, omitted variables, and interest rate smoothing in the US," Macroeconomics 0403009, EconWPA.
  4. Rudebusch, Glenn D., 2002. "Term structure evidence on interest rate smoothing and monetary policy inertia," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1161-1187, September.
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Cited by:
  1. Glenn D. Rudebusch, 2005. "Monetary policy inertia: fact or fiction?," Working Papers in Applied Economic Theory 2005-19, Federal Reserve Bank of San Francisco.
  2. Carrillo, J. & Fève, P. & Matheron, J., 2006. "Monetary Policy Inertia or Persistent Shocks?," Working papers 150, Banque de France.
  3. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
  4. Gerberding, Christina & Seitz, Franz & Worms, Andreas, 2007. "Money-based interest rate rules: lessons from German data," Discussion Paper Series 1: Economic Studies 2007,06, Deutsche Bundesbank, Research Centre.

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