| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model | |
| Efrem Castelnuovo | |
| 发表日期 | 2003 |
| 出处 | Climate Change and Sustainable Development |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Successful descriptions of short-term nominal interest rates inertial behavior have frequently been obtained with small scale macro models in which a Central Banker minimizes a loss function embedding an argument labelled as interest rate smoothing. The rationale for this argument is not straightforward. Indeed, there has been a lively debate about it in the literature. In this paper we perform an empirical exercise to evaluate the relationship existing between private sector's rational expectations and interest rate gradualism. Our findings strongly support rational expectations as an element capable to remarkably reduce the importance of the interest rate smoothing weight in replicating the observed path of the federal funds rate. However, we find a predominance of adaptive expectations in shaping the paths of inflation ad output gap. Our results also suggest that the Fed has followed a 'Strict Inflation Targeting' strategy under Greenspan's regime. |
| 特色分类 | C51,E52 |
| 关键词 | Central Banker,interest rate smoothing,rational expectations,hybrid Phillips curve,hybrid IS curve |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/squeezing-the-interest-rate-smoothing-weight-with-a-hybrid-expectations-model/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/116834 |
| 推荐引用方式 GB/T 7714 | Efrem Castelnuovo. Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model. 2003. |
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