TY - JOUR
TI - Does Model Uncertainty Justify Caution? Robust Optimal Policy in a
Forward-Looking Model
T2 - Macroeconomic Dynamics
IS - 1
KW - model uncertainty
KW - monetary policy rules
KW - robust control
KW - робастность политики
AB - This paper proposes a general method based on a property of zero-sum
two-player games to derive robust optimal monetary policy rules--the
best rules among those that yield an acceptable performance in a
specified range of models--when the true model is unknown and model
uncertainty is viewed as uncertainty about parameters of the
structural modelThe method is applied to characterize robust optimal
Taylor rules in a simple forward-looking macroeconomic model that can
be derived from first principles. Although it is commonly believed
that monetary policy should be less responsive when there is
parameter uncertainty, we show that robust optimal Taylor rules
prescribe in general a stronger response of the interest rate to
fluctuations in inflation and the output gap than is the case in the
absence of uncertainty. Thus model uncertainty does not necessarily
justify a relatively small response of actual monetary policy
AU - Giannoni, Marc
UR - http://ecsocman.hse.ru/text/19128345/
PY - 2002
SP - 111-144
M2 - 111
VL - 6
SN -
N1 -
LA - EN
CY -
PB -
M3 -
LB -
VL -
ER -