文章基本信息

标题：Describing the Fed's conduct with Taylor rules: is interest rate smoothing important?
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作者：Efrem Castelnuovo
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2003
出版社：European Central Bank
摘要：In this paper we estimate simple Taylor rules paying particular attention to interest rate smoothing. Following English, Nelson, and Sack (2002), we employ a model in first di􀀞erences to gain some insights into the presence and significance of the degree of partial adjustment as opposed to a serially correlated policy shock. Moreover, we estimate a nested model to take into account both interest rate smoothing and serially correlated deviations from various Taylor rates prescriptions. Our findings suggest that the lagged interest rate enters the Taylor rule in its own right, and may very well coexist with (usually omitted) variables that relate to asymmetric preferences on the output gap, or financial market indicators. Therefore, while we cannot exclude that serially correlated policy shocks may play a role in describing the federal funds rate path, our results significantly support the importance of the lagged interest rate in Taylor-type models.
关键词：Taylor rules; omitted variables; serial correlation; interest;rate smoothing.