Simple Monetary Policy Rules Under Model Uncertainty
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Simple Monetary Policy Rules Under Model Uncertainty
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Author : Ann-Charlotte Eliasson
language : en
Publisher: International Monetary Fund
Release Date : 1999-05-01
Simple Monetary Policy Rules Under Model Uncertainty written by Ann-Charlotte Eliasson and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-05-01 with Business & Economics categories.
Using 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.
The Performance Of Forecast Based Monetary Policy Rules Under Model Uncertainty
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Author : Andrew T. Levin
language : en
Publisher:
Release Date : 2001
The Performance Of Forecast Based Monetary Policy Rules Under Model Uncertainty written by Andrew T. Levin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Inflation (Finance) categories.
Optimal Monetary Policy Under Uncertainty Second Edition
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Author : Richard T. Froyen
language : en
Publisher: Edward Elgar Publishing
Release Date : 2019
Optimal Monetary Policy Under Uncertainty Second Edition written by Richard T. Froyen and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Mathematical optimization categories.
This 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.
Monetary Policy Rules
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Author : John B. Taylor
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
Monetary Policy Rules written by John B. Taylor and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
This timely volume presents the latest thinking on the monetary policy rules and seeks to determine just what types of rules and policy guidelines function best. A unique cooperative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, this collection presents their striking findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment, and exchange. Monetary Policy Rules illustrates that simple policy rules are more robust and more efficient than complex rules with multiple variables. A state-of-the-art appraisal of the fundamental issues facing the Federal Reserve Board and other central banks, Monetary Policy Rules is essential reading for economic analysts and policymakers alike.
Monetary Policy With Model Uncertainty
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Author : Lars E. O. Svensson
language : en
Publisher:
Release Date : 2005
Monetary Policy With Model Uncertainty written by Lars E. O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Economic forecasting categories.
"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
Uncertainty On Monetary Policy And The Expectations Model Of The Term Structure Of Interest Rates
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Author : Carlo A. Favero
language : en
Publisher:
Release Date : 2001
Uncertainty On Monetary Policy And The Expectations Model Of The Term Structure Of Interest Rates written by Carlo A. Favero and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Interest rates categories.
The Application Of Monetary Policy Rules Under Uncertainty About Expectations Formation
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Author : Peter J. Stemp
language : en
Publisher:
Release Date : 1992
The Application Of Monetary Policy Rules Under Uncertainty About Expectations Formation written by Peter J. Stemp and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Monetary policy categories.
Designing A Simple Loss Function For Central Banks
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Author : Davide Debortoli
language : en
Publisher: International Monetary Fund
Release Date : 2017-07-21
Designing A Simple Loss Function For Central Banks written by Davide Debortoli and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-21 with Business & Economics categories.
Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates.
Robust Versus Optimal Rules In Monetary Policy
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2004-06-01
Robust Versus Optimal Rules In Monetary Policy written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-01 with Business & Economics categories.
We provide a framework for analyzing the choice between optimal and robust monetary policy rules in the presence of paradigm uncertainty. We first discuss the conditions on uncertainty that render a robust rule preferable to an optimal rule. Second, we show how the degree of risk aversion of the policymaker increases the region in which the robust rule is preferred.
Some Implications For Monetary Policy Of Uncertain Exchange Rate Pass Through
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Author : Ben Hunt
language : en
Publisher: International Monetary Fund
Release Date : 2003-03-04
Some Implications For Monetary Policy Of Uncertain Exchange Rate Pass Through written by Ben Hunt and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-04 with Business & Economics categories.
The paper uses MULTIMOD to examine the implications of uncertain exchange rate pass-through for the conduct of monetary policy. From the policymaker's perspective, uncertainty about exchange rate pass-through implies uncertainty about policy multipliers and the impact of state variables on stabilization objectives. When faced with uncertainty about the strength of exchange rate pass-through, policymakers will make less costly errors by overestimating the strength of pass-through rather than underestimating it. The analysis suggests that pass-through uncertainty of the magnitude considered does not result in efficient policy response coefficients that are smaller than those under certainty.