Эксоцман
на главную поиск contacts

Robust Monetary Policy with Competing Reference Models

Опубликовано на портале: 26-09-2007
Journal of Monetary Economics. 2003.  Vol. 50. P. 945-975. 
The literature on robust monetary policy rules has largely focused on the case in which the policymaker has a single reference model while the true economy lies within a specified neighborhood of the reference model. In this paper, we show that such rules may perform very poorly in the more general case in which non-nested models represent competing perspectives about controversial issues such as expectations formation and inflation persistence. Using Bayesian and minimax strategies, we then consider whether any simple rule can provide robust performance across such divergent representations of the economy

We find that a robust outcome is attainable only in cases where the objective function places substantial weight on stabilizing both output and inflation; in contrast, we are unable to find a robust policy rule when the sole policy objective is to stabilize inflation. We analyze these results using a new diagnostic approach, namely, by quantifying the fault tolerance of each model economy with respect to deviations from optimal policy

Полный текст рабочей версии статьи смотри в Working Papers in Applied Economic Theory (2003-10) of Federal Reserve Bank of San Francisco
BiBTeX
RIS
Ключевые слова

См. также:
Marc Giannoni
Macroeconomic Dynamics. 2002.  Vol. 6. No. 1. P. 111-144. 
[Статья]
Andrew T. Levin, Volker Wieland, John C. Williams
Finance and Economics Discussion Series. 1998. 
[Статья]
Athanasios Orphanides
Journal of Monetary Economics. 2003.  Vol. 50. No. 5. P. 983-1022. 
[Статья]
William A. Brock, Steven N. Durlauf, Kenneth D. West
Journal of Econometrics. 2007.  Vol. 136. No. 2. P. 629-664. 
[Статья]
Rochelle M. Edge, Jeremy B. Rudd
Journal of Monetary Economics. 2007.  Vol. 54. No. 8. P. 2554-2567. 
[Статья]
Kai Leitemo, Ulf Söderström
[Статья]
Ulf Söderström, Kai Leitemo
Computing in Economics and Finance 2006. 2006. 
[Статья]