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Journal articles on the topic 'Interest rate smoothing'

Author: Grafiati

Published: 4 June 2021

Last updated: 9 February 2022

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1

Woodford, Michael. "Optimal Interest-Rate Smoothing." Review of Economic Studies 70, no. 4 (2003): 861–86. http://dx.doi.org/10.1111/1467-937x.00270.

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2

Smith, R. Todd, and Henry van Egteren. "Interest rate smoothing and financial stability." Review of Financial Economics 14, no. 2 (2005): 147–71. http://dx.doi.org/10.1016/j.rfe.2004.08.004.

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3

Duarte, Diogo, and Rodolfo Prieto. "Equilibrium implications of interest rate smoothing." Quantitative Finance 20, no. 3 (2019): 409–23. http://dx.doi.org/10.1080/14697688.2019.1645346.

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4

Reinhart, Vincent. "Interest rate smoothing and staggered contracting." Journal of Economics and Business 42, no. 1 (1990): 1–16. http://dx.doi.org/10.1016/0148-6195(90)90016-6.

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5

Froyen, Richard T., and Roger N. Waud. "Optimal seigniorage versus interest rate smoothing." Journal of Macroeconomics 17, no. 1 (1995): 111–29. http://dx.doi.org/10.1016/0164-0704(95)80006-9.

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6

Benhabib, Jess, Stephanie Schmitt-Grohe, and Martin Uribe. "Backward-Looking Interest-Rate Rules, Interest-Rate Smoothing, and Macroeconomic Instability." Journal of Money, Credit, and Banking 35, no. 6b (2003): 1379–412. http://dx.doi.org/10.1353/mcb.2004.0020.

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7

Rebelo, Sergio, and Danyang Xie. "On the optimality of interest rate smoothing." Journal of Monetary Economics 43, no. 2 (1999): 263–82. http://dx.doi.org/10.1016/s0304-3932(98)00062-2.

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8

Eo, Yunjong, and Denny Lie. "Average inflation targeting and interest-rate smoothing." Economics Letters 189 (April 2020): 109005. http://dx.doi.org/10.1016/j.econlet.2020.109005.

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9

Florio, Anna. "Asymmetric interest rate smoothing: The Fed approach." Economics Letters 93, no. 2 (2006): 190–95. http://dx.doi.org/10.1016/j.econlet.2006.05.001.

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10

Di Giorgio, Giorgio, and Zeno Rotondi. "Financial stability, interest-rate smoothing and equilibrium determinacy." Journal of Financial Stability 7, no. 1 (2011): 1–9. http://dx.doi.org/10.1016/j.jfs.2009.05.004.

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11

Goodfriend, Marvin. "Interest rate smoothing and price level trend-stationarity." Journal of Monetary Economics 19, no. 3 (1987): 335–48. http://dx.doi.org/10.1016/0304-3932(87)90002-x.

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12

Coibion, Olivier, and Yuriy Gorodnichenko. "Why Are Target Interest Rate Changes so Persistent?" American Economic Journal: Macroeconomics 4, no. 4 (2012): 126–62. http://dx.doi.org/10.1257/mac.4.4.126.

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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

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13

Carlstrom, Charles T., and Timothy Stephen Fuerst. "Comment on "Backward-Looking Interest-Rate Rules, Interest-Rate Smoothing, and Macroeconomic Instability"." Journal of Money, Credit, and Banking 35, no. 6b (2003): 1413–23. http://dx.doi.org/10.1353/mcb.2004.0022.

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14

PINKWART, NICOLAS. "QUANTIFYING THE EUROPEAN CENTRAL BANK'S INTEREST RATE SMOOTHING BEHAVIOR*." Manchester School 81, no. 4 (2012): 470–92. http://dx.doi.org/10.1111/j.1467-9957.2012.02296.x.

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15

CASTELNUOVO, EFREM. "TAYLOR RULES AND INTEREST RATE SMOOTHING IN THE EURO AREA." Manchester School 75, no. 1 (2007): 1–16. http://dx.doi.org/10.1111/j.1467-9957.2007.01000.x.

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16

Kam, Timothy. "Interest-rate smoothing in a two-sector small open economy." Journal of Macroeconomics 29, no. 2 (2007): 283–304. http://dx.doi.org/10.1016/j.jmacro.2005.04.006.

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17

Rudebusch, Glenn D. "Term structure evidence on interest rate smoothing and monetary policy inertia." Journal of Monetary Economics 49, no. 6 (2002): 1161–87. http://dx.doi.org/10.1016/s0304-3932(02)00149-6.

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18

Castelnuovo, Efrem. "Taylor rules, omitted variables, and interest rate smoothing in the US." Economics Letters 81, no. 1 (2003): 55–59. http://dx.doi.org/10.1016/s0165-1765(03)00152-6.

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19

Baranowski, Paweł. "Monetary policy rule for Poland – results for various specifactions." Oeconomia Copernicana 2, no. 3 (2011): 5–21. http://dx.doi.org/10.12775/oec.2011.010.

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The aim of the paper is to analyse monetary policy rules for Poland. We estimate models based on the proposition of Taylor (1993), augmented with interest rate smoothing. We deal with the case of instantaneous as well as forward-looking relationship between interest rate and inflation. In the latter case, the proposition of data-rich reaction function (Bernanke and Boivin, 2003) was also considered. The evidence show that Polish monetary authority reaction to inflation is strong, contrary to the output gap. In addition, we found strong interest smoothing, which implies time-distributed respons

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20

Balter, Anne G., and Bas J. M. Werker. "THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES." ASTIN Bulletin 50, no. 1 (2019): 131–54. http://dx.doi.org/10.1017/asb.2019.27.

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AbstractIn this paper, we consider the risk–return trade-off for variable annuities in a Black–Scholes setting. Our analysis is based on a novel explicit allocation of initial wealth over the payments at various horizons. We investigate the relationship between the optimal consumption problem and the design of variable annuities by deriving the optimal so-called assumed interest rate for an investor with constant relative risk aversion preferences. We investigate the utility loss due to deviations from this. Finally, we show analytically how habit-formation-type smoothing of financial market s

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21

Cömert, Hasan, Gökçe Akın Olçum, and A. Erinç Yeldan. "Interest Rate Smoothing and Macroeconomic Instability under Post—Capital Account Liberalization Turkey." Canadian Journal of Development Studies / Revue canadienne d'études du développement 31, no. 3-4 (2010): 459–82. http://dx.doi.org/10.1080/02255189.2010.3673730.

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22

Kia, Amir. "Overnight monetary policy in the United States: Active or interest-rate smoothing?" Journal of Macroeconomics 32, no. 1 (2010): 378–91. http://dx.doi.org/10.1016/j.jmacro.2009.03.005.

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23

Zubairy, Sarah. "INTEREST RATE RULES AND EQUILIBRIUM STABILITY UNDER DEEP HABITS." Macroeconomic Dynamics 18, no. 1 (2013): 23–40. http://dx.doi.org/10.1017/s1365100513000266.

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This paper studies the determinacy of equilibrium in a new Keynesian model with deep habits under different interest rate rules. The main finding is that an interest rate rule satisfying the Taylor principle is no longer a sufficient condition to guarantee determinacy. Including interest rate smoothing and a response to output deviations from steady state significantly enlarges the regions of determinacy. However, under all the simple interest rate rules considered, determinacy is not guaranteed for a very high degree of deep habits. Deep habits give rise to countercyclical markups, which is i

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24

Sack, Brian, and Volker Wieland. "Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence." Journal of Economics and Business 52, no. 1-2 (2000): 205–28. http://dx.doi.org/10.1016/s0148-6195(99)00030-2.

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25

Sack, Brian, and Volker W. Wieland. "Interest-Rate Smoothing and Optimal Monetary Policy : A Review of Recent Empirical Evidence." Finance and Economics Discussion Series 1999, no. 39 (1999): 1–35. http://dx.doi.org/10.17016/feds.1999.39.

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26

Kam, Timothy. "Gains from interest-rate smoothing in a small open economy with zero-bound aversion." North American Journal of Economics and Finance 20, no. 1 (2009): 24–45. http://dx.doi.org/10.1016/j.najef.2009.01.001.

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27

Takacs, Andras, and Tamas Szucs. "The effect of decreasing interest rates on European banks’ earnings quality." Banks and Bank Systems 14, no. 2 (2019): 174–80. http://dx.doi.org/10.21511/bbs.14(2).2019.15.

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Earnings quality (EQ) is an indicator generally defined as a mix of many components like persistence, predictability, volatility and smoothing of earnings. This study is based on the hypothesis that in the banking sector, any changes in interest rates make a remarkable effect on these characteristics of earnings, and thus may influence EQ. Between 2007 and 2015, there has been a general decreasing trend in interest rates across Europe, with varying slopes in different countries. Using data of 128 European banks from 27 countries, it is examined how the extent of interest rate decrease influenc

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28

Pasca, Nilda Mercedes Cabrera, Edilean Kleber da Silva Bejarno Aragón, and Marcelo Savino Portugal. "Preferences of the Central Reserve Bank of Peru and optimal monetary rules in the inflation targeting regime." Estudos Econômicos (São Paulo) 42, no. 1 (2012): 5–42. http://dx.doi.org/10.1590/s0101-41612012000100001.

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This study aims to identify the preferences of the monetary authority in the Peruvian regime of inflation targeting through the derivation of optimal monetary rules. To achieve that, we used a calibration strategy based on the choice of values of the parameters of preferences that minimize the square deviation between the true interest rate and interest rate optimal simulation. The results showed that the monetary authority has applied a system of flexible inflation targeting, prioritizing the stabilization of inflation, but without disregarding gradualism in interest rates. On the other hand,

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29

Brito, Ricardo D., Angelo José Mont' Alverne Duarte, and Osmani Teixeira de Carvalho Guillen. "Overreaction of yield spreads and movements of Brazilian interest ratest." Brazilian Review of Econometrics 24, no. 1 (2004): 1. http://dx.doi.org/10.12660/bre.v24n12004.2702.

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This paper tests the rational expectations hypothesis (REH) for Brazil from July 1996 to December 2001. For any pair of maturities between one day and one year, it shows that the yield spread between a longer-term and a shorterterm interest rate is an imprecise predictor of the short-term movements in the longer-term interest rate and of the long-term movements in the shorter-term interest rate. Moreover, yield spreads highly correlated with the rational expectations forecasts of future changes in the shorter-term rate, but significantly more volatile than these, suggest the rejection of the R

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30

Lecznar, Jonathon, and Thomas Lubik. "Real Rates and Consumption Smoothing in a Low Interest Rate Environment: The Case of Japan." Federal Reserve Bank of Richmond Working Papers 17, no. 08 (2017): 1–28. http://dx.doi.org/10.21144/wp17-08.

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31

Chugh, Sanjay K. "Does Monetary Policy Keep Up with the Joneses? Optimal Interest-Rate Smoothing with Consumption Externalities." International Finance Discussion Paper 2004, no. 812 (2004): 1–34. http://dx.doi.org/10.17016/ifdp.2004.812.

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32

Lecznar, Jonathon, and Thomas A. Lubik. "Real rates and consumption smoothing in a low interest rate environment: The case of Japan." Pacific Economic Review 23, no. 5 (2018): 685–704. http://dx.doi.org/10.1111/1468-0106.12284.

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33

Jeong, Jinho. "An Investigation Of Dynamic Dividend Behavior In Korea." International Business & Economics Research Journal (IBER) 10, no. 6 (2011): 21. http://dx.doi.org/10.19030/iber.v10i6.4370.

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The principal objective of this study was to assess the dynamic dividend behavior of firms in Korea. Specifically, this study tests the presence of dividend smoothing and identifies the firm-level factors influencing the degree of dividend smoothing. For this purpose, 299 firms listed on the Korea Stock Exchange over a 26-year period, from 1981 to 2006, were investigated.The empirical results of this study demonstrate that Korean firms made dividend payments which were quite closely related to the average interest rate over the sample period. A change in dividend payments is less likely to ref

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34

Caporale, Tony, and Kyongwook Choi. "The start of interest rate smoothing in the US: is it a monetary or fiscal story?" Applied Economics 41, no. 11 (2009): 1361–65. http://dx.doi.org/10.1080/00036840601019380.

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35

Simionescu, Bratu Mihaela. "Predicting Macroeconomic Indicators in the Czech Republic Using Econometric Models and Exponential Smoothing Techniques." South East European Journal of Economics and Business 7, no. 2 (2012): 89–99. http://dx.doi.org/10.2478/v10033-012-0017-3.

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Abstract Econometric modeling and exponential smoothing techniques are two quantitative forecasting methods with good results in practice, but the objective of the research was to find out which of the two techniques are better for short run predictions. Therefore, for inflation, unemployment and interest rate in the Czech Republic various accuracy indicators were calculated for the predictions based on these methods. Short run forecasts on a horizon of 3 months were made for December 2011-February 2012, the econometric models being updated. For the Czech Republic, the exponential smoothing te

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36

Thornton, Daniel L. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?" Journal of Banking & Finance 28, no. 3 (2004): 475–98. http://dx.doi.org/10.1016/s0378-4266(02)00409-0.

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37

Smith, Anne C., Joao D. Scalon, Sylvia Wirth, Marianna Yanike, Wendy A. Suzuki, and Emery N. Brown. "State-Space Algorithms for Estimating Spike Rate Functions." Computational Intelligence and Neuroscience 2010 (2010): 1–14. http://dx.doi.org/10.1155/2010/426539.

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The accurate characterization of spike firing rates including the determination of when changes in activity occur is a fundamental issue in the analysis of neurophysiological data. Here we describe a state-space model for estimating the spike rate function that provides a maximum likelihood estimate of the spike rate, model goodness-of-fit assessments, as well as confidence intervals for the spike rate function and any other associated quantities of interest. Using simulated spike data, we first compare the performance of the state-space approach with that of Bayesian adaptive regression splin

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38

Tan, Chai-Thing, and Azali Mohamed. "MONETARY POLICY RULES IN MALAYSIA, SINGAPORE AND THAILAND." Buletin Ekonomi Moneter dan Perbankan 23, no. 4 (2020): 565–96. http://dx.doi.org/10.21098/bemp.v23i4.1112.

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This paper investigates whether monetary policies in Malaysia, Thailand and Singapore are best represented by either the Taylor rule or the augmented Taylor rule. It finds that the augmented Taylor rule, which incorporates the exchange rate and government spending, best represents monetary policies in these countries. The results show that past inflation and the output gap play a role in the monetary policy reaction function in Malaysia and Thailand. The results further show a strong preference towards interest rate smoothing, government spending, and the exchange rate by the central banks.

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39

Lapshin, Victor. "A Nonparametric Approach to Bond Portfolio Immunization." Mathematics 7, no. 11 (2019): 1121. http://dx.doi.org/10.3390/math7111121.

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We consider the problem of short term immunization of a bond-like obligation with respect to changes in interest rates using a portfolio of bonds. In the case that the zero-coupon yield curve belongs to a fixed low-dimensional manifold, the problem is widely known as parametric immunization. Parametric immunization seeks to make the sensitivities of the hedged portfolio price with respect to all model parameters equal to zero. However, within a popular approach of nonparametric (smoothing spline) term structure estimation, parametric hedging is not applicable right away. We present a nonparame

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40

Mengus, Eric, and Roberto Pancrazi. "Endogenous Partial Insurance and Inequality." Journal of the European Economic Association 18, no. 5 (2019): 2270–314. http://dx.doi.org/10.1093/jeea/jvz034.

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Abstract In this paper, we propose a model of endogenous partial insurance and we investigate its implications for macroeconomic outcomes, such as wealth inequality, asset accumulation, interest rate, and consumption smoothing. To this end, we include participation costs to state-contingent asset markets into an otherwise standard Aiyagari (1994) model. We highlight the resulting nonmonotonic relationship between wealth and insurance-market participation when insurance is costly. Poor households remain uninsured, middle-class households participate in the insurance market, whereas rich househo

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41

Lindset, Snorre, and Knut Anton Mork. "Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies." International Journal of Financial Studies 7, no. 1 (2019): 4. http://dx.doi.org/10.3390/ijfs7010004.

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In an economy with a sovereign wealth fund (SWF), the government may draw on the fund to supplement other government revenues. If the fund is invested in risky assets, this introduces a new stochastic element into the government’s budget. We analyze the interaction between the draw from and risk taking in the SWF. Using non-expected utility preferences, we distinguish between intended changes and stochastic changes in the SWF draws over time. We show that the desire for smoothness in taxes and public services translates into smoothing of SWF draws and lower risk taking. It can even lead to pro

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42

H. Harun, M., M. F. Yaakub, A. F. Z. Abidin, et al. "The investigation on defect recognition system using gaussian smoothing and template matching approach." Indonesian Journal of Electrical Engineering and Computer Science 18, no. 2 (2020): 812. http://dx.doi.org/10.11591/ijeecs.v18.i2.pp812-820.

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<p>This paper investigates various approaches for automated inspection of gluing process using shape-based matching application. A new supervised defect detection approach to detect a class of defects in gluing application is proposed. Creating of region of interest in important region of object is discussed. Gaussian smoothing features is proposed in determining better image processing. Template matching in differentiates between reference and tested image are proposed. This scheme provides high computational savings and results in high defect detection recognition rate. The defects are

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43

Katuwal, Khagendra. "Do the Monetary Policy Makers Follow Rules? Testing Taylor’s Rule for Nepal." Economic Journal of Nepal 42, no. 1-2 (2019): 34–42. http://dx.doi.org/10.3126/ejon.v42i1-2.35903.

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The study estimates Taylor’s rule for Nepal by using the annual time series data for the period of 1988-2018. As a requirement of Taylor's rule, the output gap has been estimated by using Hodric-Perscott filter. Consumer price index has been used as measure of inflation and 91-days treasury bills rate is taken as the proxy for the short-term interest rate set by central bank of Nepal. The ordinary least square method has been used to estimate the Taylor's equation The results show that. As Augmented Dickey-Fuller test shows that all the variables used in this study are in level form. The resul

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44

Górajski, Mariusz. "Robust Monetary Policy in a Model of the Polish Economy: Is the Uncertainty Responsible for the Interest Rate Smoothing Effect?" Computational Economics 52, no. 2 (2017): 313–40. http://dx.doi.org/10.1007/s10614-017-9678-4.

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45

Velumani, P., and N. V. N. Nampoothiri. "Volatility forecast of CIDC Construction Cost Index using smoothing techniques and machine learning." International Review of Applied Sciences and Engineering 12, no. 1 (2021): 50–56. http://dx.doi.org/10.1556/1848.2020.00132.

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AbstractThe Construction Industry Development Council (CIDC) of India has been calculating and publishing the Construction Cost Index (CCI), monthly, since 1998. Construction cost variations interrogate different kinds of projects such as roads, power plants, buildings, industrial structures, railways and bridges. The success rate of completion of construction project is diminished due to the lack of prediction knowledge in CCI. Predicting CCI in greater accuracy is quite difficult for contractor and academicians. The following factors are influenced higher in CCI such as population, unemploym

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46

Tahir, Nadia. "Forward-Looking and Backward-Looking Taylor Rules: Evidence from Pakistan." LAHORE JOURNAL OF ECONOMICS 18, no. 2 (2013): 121–45. http://dx.doi.org/10.35536/lje.2013.v18.i2.a5.

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This study uses the forward-looking rule and backward-looking Taylor rule to investigate the conduct of monetary policy in Pakistan during 1971–2011. We compare the pre- and post-reform periods, and find that the estimates obtained using the generalized method of moments indicate that no interest rate rule was being followed. This explains the inability of monetary policy to control inflation and minimize the output gap. Although monetary policy was not very active in the pre- and post-reform periods, the post-reform quarterly data show some interest rate inertia and smoothing. Monetary policy

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47

Mackiewicz-Łyziak, Joanna. "Are Central Banks In CEE Countries Concerned About The Burden Of Public Debt?" Comparative Economic Research. Central and Eastern Europe 20, no. 1 (2017): 35–51. http://dx.doi.org/10.1515/cer-2017-0003.

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The aim of this study is to analyze the monetary policy rules in the Czech Republic, Hungary and Poland, with public debt as an additional explanatory variable. We estimate linear rules by the GMM estimation and non-linear rules, using the Markov-switching model. Our findings suggest that in the Czech Republic and Poland the monetary authorities respond to growing public debt by lowering interest rates, while in Hungary the opposite may be observed. Moreover, we distinguish between passive and active monetary policy regimes and find that the degree of interest rate smoothing is lower and the r

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48

Mammen, Enno, Jens Perch Nielsen, Michael Scholz, and Stefan Sperlich. "Conditional Variance Forecasts for Long-Term Stock Returns." Risks 7, no. 4 (2019): 113. http://dx.doi.org/10.3390/risks7040113.

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In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step procedure a fully nonparametric local-linear smoother and choose the set of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much less important at longer horizons regardless of the chosen model and that the homoscedastic historical average of t

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49

Maqsood Ahmed, Ather, and Wasim Shahid Malik. "The Economics of Inflation, Issues in the Design of Monetary Policy Rule, and Monetary Policy Reaction Function in Pakistan." LAHORE JOURNAL OF ECONOMICS 16, Special Edition (2011): 215–32. http://dx.doi.org/10.35536/lje.2011.v16.isp.a9.

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The objective of this study is to estimate a monetary policy reaction function for Pakistan. To do this, we use data for the period 1992Q4–2010Q2. Our results show that the State Bank of Pakistan reacts to changes in the inflation rate and economic activity in a manner that is consistent with the Taylor (1993) rule, and with the explicit objective of interest rate smoothing and exchange rate management. This policy has remained consistent for most of the sample period, except for the last two years, during which a price hike and the massive depreciation of domestic currency led to a significan

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50

Shahab, Sadaf, Muhammad Tariq Mahmood, and Azmat Fatima. "Industrial Production and Monetary Shocks: Empirical Evidence from Pakistan." Review of Economics and Development Studies 6, no. 3 (2020): 575–89. http://dx.doi.org/10.47067/reads.v6i3.248.

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This study focuses on long run relationship between industrial production and financial markets through a restricted structural model. Conditional upon arbitrage between short and long term money market rates, we find an evidence of cointegration between output and the stock market. Statistical results indicate that positive long-run relation between the stock market and real output allows the identification of a demand shock as permanently affecting stock market. Similarly money supply and short-term interest rate shock permanently affect stock market while inflation affects negatively in lon

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