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The Performance of Forecast-Based Monetary Policy Rules under Model Uncertainty

Опубликовано на портале: 26-09-2007
American Economic Review. 2003.  Vol. 93. No. 3. P. 622-645. 
We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty: such rules respond to the one-year ahead inflation forecast and to the current output gap, and incorporate a substantial degree of policy inertia. In contrast, rules with longer forecast horizons are less robust and are prone to generating indeterminacy. In light of these results, we identify a robust benchmark rule that performs very well in all five models over a wide range of policy preferences

Полный текст рабочей версии статьи представлен в Finance and Economics Discussion Series (2001-39) of Federal Reserve Board
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