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Replication data for: Why Are Target Interest Rate Changes So Persistent?

Version
V0
Resource Type
Dataset
Creator
  • Coibion, Olivier
  • Gorodnichenko, Yuriy
Publication Date
2012-05-01
Description
  • Abstract

    While 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)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mac.4.4.126 (Text)
Publications
  • 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

Coibion, Olivier; Gorodnichenko, Yuriy (2012): Replication data for: Why Are Target Interest Rate Changes So Persistent?. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114253