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

Author

Listed:
  • 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.

Suggested Citation

  • Apel, Mikael & Jansson, Per, 2005. "Some Further Evidence on Interest-Rate Smoothing: The Role of Measurement Errors in the Output Gap," Working Paper Series 178, Sveriges Riksbank (Central Bank of Sweden).
    • Handle: RePEc:hhs:rbnkwp:0178
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    File URL: http://www.riksbank.com/upload/WorkingPapers/WP_178.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Castelnuovo, Efrem, 2003. "Taylor rules, omitted variables, and interest rate smoothing in the US," Economics Letters, Elsevier, vol. 81(1), pages 55-59, October.
    3. 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, vol. 3(1), pages 1-18, April.
    4. Gerlach-Kristen Petra, 2004. "Interest-Rate Smoothing: Monetary Policy Inertia or Unobserved Variables?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-19, March.
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    1. repec:zbw:bofrdp:2005_017 is not listed on IDEAS
    2. Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
    3. Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
    4. Glenn D. Rudebusch, 2006. "Monetary Policy Inertia: Fact or Fiction?," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    5. 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.
    6. Nicolas Pinkwart, 2013. "Quantifying The European Central Bank'S Interest Rate Smoothing Behavior," Manchester School, University of Manchester, vol. 81(4), pages 470-492, July.
    7. Julio Carrillo & Patrick Fève & Julien Matheron, 2007. "Monetary Policy Inertia or Persistent Shocks: A DSGE Analysis," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 1-38, June.
    8. 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.

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    More about this item

    Keywords

    Interest-rate smoothing; Measurement errors; Output gap;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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