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Author : Takeshi Kimura
Release : 2003
Genre : Monetary policy
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Book Synopsis Optimal Monetary Policy in a Micro-founded Model with Parameter Uncertainty by : Takeshi Kimura
Download or read book Optimal Monetary Policy in a Micro-founded Model with Parameter Uncertainty written by Takeshi Kimura. This book was released on 2003. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rochelle Mary Edge
Release : 2007
Genre : Monetary policy
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Book Synopsis Welfare-maximizing Monetary Policy Under Parameter Uncertainty by : Rochelle Mary Edge
Download or read book Welfare-maximizing Monetary Policy Under Parameter Uncertainty written by Rochelle Mary Edge. This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the U.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model's utility-based welfare criterion and about the economy's natural rate measures of interest and output. We analyze the characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We find that the natural rates of interest and output are imprecisely estimated. We then show that, relative to the case of known parameters, optimal policy under parameter uncertainty responds less to natural-rate terms and more to other variables, such as price and wage inflation and measures of tightness or slack that do not depend on natural rates.
Author :
Release : 2007
Genre :
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Book Synopsis Optimal Policy Under Model Uncertainty by :
Download or read book Optimal Policy Under Model Uncertainty written by . This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt: In 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 : Marc Paolo Giannoni
Release : 2006
Genre : Monetary policy
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Book Synopsis Robust Optimal Policy in a Forward-looking Model with Parameter and Shock Uncertainty by : Marc Paolo Giannoni
Download or read book Robust Optimal Policy in a Forward-looking Model with Parameter and Shock Uncertainty written by Marc Paolo Giannoni. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: This paper characterizes a robust optimal policy rule in a simple forward-looking model, when the policymaker faces uncertainty about model parameters and shock processes. We show that the robust optimal policy rule is likely to involve 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 parameter uncertainty alone does not necessarily justify a small response of monetary policy to perturbations. However uncertainty may amplify the degree of "super-inertia" required by optimal monetary policy. We finally discuss the sensitivity of the results to alternative assumptions.
Author : Carlo A. Favero
Release : 2001
Genre :
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Book Synopsis Parameters' Instability, Model Uncertainty and Optimal Monetary Policy by : Carlo A. Favero
Download or read book Parameters' Instability, Model Uncertainty and Optimal Monetary Policy written by Carlo A. Favero. This book was released on 2001. Available in PDF, EPUB and Kindle. Book excerpt:
