Taylor rules, omitted variables, and interest rate smoothing in the US

Efrem Castelnuovo ()

Macroeconomics from EconWPA

Abstract: We test for the presence of interest rate smoothing in forward looking Taylor rules in first differences. We also consider financial and asymmetric preferences indicators. We find that interest rate smoothing is not induced by an omitted variable bias.

Keywords: Taylor rules; Interest rate smoothing; Serial correlation; Observational equivalence; Omitted variables (search for similar items in EconPapers)
JEL-codes: E4 E5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dev, nep-mac and nep-mon
Date: 2004-03-17
Note: Type of Document - pdf; pages: 5
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http://129.3.20.41/eps/mac/papers/0403/0403009.pdf (application/pdf)

Related works:
Journal Article: Taylor rules, omitted variables, and interest rate smoothing in the US (2003)
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