Model Uncertainty and Optimal Monetary Policy
Author: Marc Paolo Giannoni
Publisher:
Published: 2001
Total Pages: 388
ISBN-13:
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Author: Marc Paolo Giannoni
Publisher:
Published: 2001
Total Pages: 388
ISBN-13:
DOWNLOAD EBOOKAuthor: Anna Orlik
Publisher:
Published: 2013
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Richard T. Froyen
Publisher: Edward Elgar Publishing
Published: 2019
Total Pages: 466
ISBN-13: 1784717193
DOWNLOAD EBOOKThis book provides a thorough survey of the model-based literature on optimal monetary in a stochastic setting. The survey begins with the literature of the 1970s which focused on the information problem in policy design and extends to the New Keynesian approach of the 1990s which centered on evaluating alternative targeting strategies. New to the second edition is consideration of research since the world financial crisis on the role of financial markets and institutions in the conduct of monetary policy.
Author: Carlo A. Favero
Publisher:
Published: 2001
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Efrem Castelnuovo
Publisher:
Published: 2001
Total Pages: 28
ISBN-13:
DOWNLOAD EBOOKAuthor: Ann-Charlotte Eliasson
Publisher: International Monetary Fund
Published: 1999-05-01
Total Pages: 61
ISBN-13: 1451849710
DOWNLOAD EBOOKUsing stochastic simulations and stability analysis, the paper compares how different monetary rules perform in a moderately nonlinear model with a time-varying nonaccelerating-inflation-rate-of-unemployment (NAIRU). Rules that perform well in linear models but implicitly embody backward-looking measures of real interest rates (such as conventional Taylor rules) or substantial interest rate smoothing perform very poorly in models with moderate nonlinearities, particularly when policymakers tend to make serially correlated errors in estimating the NAIRU. This challenges the practice of evaluating rules within linear models, in which the consequences of responding myopically to significant overheating are extremely unrealistic.
Author: Li Qin
Publisher:
Published: 2008
Total Pages: 241
ISBN-13:
DOWNLOAD EBOOKThis thesis analyze the conduct of monetary policy in the presence of uncertainty. By adopting the framework proposed by Hansen and Sargent (2003), we analyze the behaviors of monetary authorities and private agents when faced with various sources of uncertainty, as well as their consequences in terms of macroeconomic performances. Our work shows that, in order to guard against the possibly catastrophic results of the worst-case scenario, central bankers have to react in an active manner, by manipulating the interest rate. However, in an open economy, the magnitude of this adjustment decreases with the degree of openness. Also, greater transparency of the central bank's objectives, by reducing preference uncertainty, will attenuate the variations of macroeconomic variables that follow the consideration of possible erroneous specifications. It is thus advisable to reveal informations about the central bankers' preferences, including their own estimates of the degree of model uncertainty.
Author:
Publisher:
Published: 2007
Total Pages:
ISBN-13:
DOWNLOAD EBOOKIn this paper we propose a novel methodology to analyze optimal policies under model uncertainty in micro-founded macroeconomic models. As an application we assess the relevant sources of uncertainty for the optimal conduct of monetary policy within (parameter uncertainty) and across models (specification uncertainty) using EU 13 data. Parameter uncertainty matters only if the zero bound on interest rates is explicitly taken into account. In any case, optimal monetary policy is highly sensitive with respect to specification uncertainty implying substantial welfare gains of a robust-optimal rule that incorporates this risk. -- Optimal monetary policy ; model uncertainty ; Bayesian model estimation
Author: Richard T. Froyen
Publisher:
Published: 2007
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Lars E. O. Svensson
Publisher:
Published: 2005
Total Pages: 84
ISBN-13:
DOWNLOAD EBOOK"We examine optimal and other monetary policies in a linear-quadratic setup with a relatively general form of model uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables. The form of model uncertainty our framework encompasses includes: simple i.i.d. model deviations; serially correlated model deviations; estimable regime-switching models; more complex structural uncertainty about very different models, for instance, backward- and forward-looking models; time-varying central-bank judgment about the state of model uncertainty; and so forth. We provide an algorithm for finding the optimal policy as well as solutions for arbitrary policy functions. This allows us to compute and plot consistent distribution forecasts---fan charts---of target variables and instruments. Our methods hence extend certainty equivalence and "mean forecast targeting" to more general certainty non-equivalence and "distribution forecast targeting.""--National Bureau of Economic Research web site