Term structure evidence on interest rate smoothing and monetary policy inertia

By Glenn D. Rudebusch. 2002

823 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0c209de11c109ccee36a0b9f7bd590ea102eda27

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In Economics and Econometrics

Citations in the corpus

The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation (2003, background): “A number of authors have argued that the federal funds rate and the T-bill rate move together because they are linked by the expectations hypothesis (EH) (eg, inter alia, Cook and Hahn, 1989; Goodfriend, 1991; Poole, 1991; Rudebusch, 1995, 2001; Woodford, 1999).”
Using Taylor Rules to Understand ECB Monetary Policy (2003, background): “Rudebusch (2002) reports comparable outcomes for the US.”
The policy preferences of the US Federal Reserve (2004, neutral): “The basic argument in Rudebusch (2002) is that when policy rules are freely estimated, rules with lagged dependent variables and rules with serially correlated shocks are statistically difficult to disentangle using direct testing methods.”
Economic determinants of the nominal treasury yield curve (2007, neutral): “In this no-smoothing version of equation (1) the interest rate residuals εFFt and γt display pronounced serial correlation (a point noted by Rudebusch, 2002, and Ang and Piazzesi, 2003).”
The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009, neutral): “, a linearization or log-linearization) eliminates the term premium entirely, because equations (33) and (36) are identical to rst order.”
Taylor Rules for the ECB Using Expectations Data (2008, methodology): “adjustment and serially correlated errors without resorting to other evidence, such as the forecastability of the term structure, as suggested by Rudebusch (2002) .”
No-arbitrage macroeconomic determinants of the yield curve (2010, neutral): “Rudebusch (2002) tries to distinguish the monetary-policy-inertia and serially-correlated-shock versions of the interest rate rule.”
The propagation of monetary policy shocks in a heterogeneous production economy (2018, methodology): “We set the parameters in the Taylor rule to standard values of φπ = 1.24 and φc = 0.33/12 (see Rudebusch (2002)) with a persistence parameter of monetary shocks of ρ = 0.9.”
Business Cycle Dynamics Under Rational Inattention (2015, positive): “We do so following Section 2 in Rudebusch (2002).”
Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, neutral): “This limits the insights they can deliver about the underlying macroeconomic determinants of bond risks.”
The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models (2003, methodology): “3 We use the values of a, b, and c estimated by Rudebusch (2002) for the period 1987Q4 to 1999Q4: a=.53, b=.93, and c=.73.”
Heterogeneity in Price Stickiness and the Real Effects of Monetary Shocks (2006, neutral): “Motivated by the results in Rudebusch (2002), I assume an interest rate rule that is subject to persistent shocks: I t = β −1 µ P t P t−1 ¶ φ π µ Y t Y ¶ φ y e υ t , where φ π and φ y are the standard parameters associated with Taylor-type interest rate rules, υ t = κυ t−1 + ξ t , and ξ t is a zero…”