Replication data for: Why Are Target Interest Rate Changes So Persistent?
- Coibion, Olivier
- Gorodnichenko, Yuriy
AbstractWhile 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)
Is supplement to
DOI: 10.1257/mac.4.4.126 (Text)
Coibion, Olivier, and Yuriy Gorodnichenko. “Why Are Target Interest Rate Changes so Persistent?” American Economic Journal: Macroeconomics 4, no. 4 (October 2012): 126–62. https://doi.org/10.1257/mac.4.4.126.
- ID: 10.1257/mac.4.4.126 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13