全球智库信息集成服务系统(G2TT): DP4347 Rule-of-Thumb Consumers and the Design of Interest Rate Rules

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP4347
	DP4347 Rule-of-Thumb Consumers and the Design of Interest Rate Rules
	Jordi Gali; Javier Vallés Liberal; Jose David Lopez-Salido
发表日期	2004-04-23
出版年	2004
语种	英语
摘要	In this Paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework. Learning about the transmission process of monetary policy is introduced by having heterogeneous agents - i.e. the central bank and private agents - who have different information sets about the future sequence of short-term interest rates. We analyse inflation forecast targeting in two environments. One in which the central bank has perfect knowledge, in the sense that it understands and observes the process by which private sector interest rate expectations are generated, and one in which the central bank has imperfect knowledge and has to learn the private sector forecasting rule for short-term interest rates. In the case of imperfect knowledge, the central bank has to learn about private sector interest rate expectations, as the latter affect the impact of monetary policy through the expectations theory of the term structure of interest rates. Here following Evans and Honkapohja (2001), the learning scheme we investigate is that of least-squares learning (recursive OLS) using the Kalman filter. We find that optimal monetary policy under learning is a policy that separates estimation and control. Therefore, this model suggests that the practical relevance of the breakdown of the separation principle and the need for experimentation in policy may be limited.
主题	International Macroeconomics
关键词	Learning Rational expectations Separation principle Kalman filter Term structure of interest rates
URL	https://cepr.org/publications/dp4347
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/533304
推荐引用方式 GB/T 7714	Jordi Gali,Javier Vallés Liberal,Jose David Lopez-Salido. DP4347 Rule-of-Thumb Consumers and the Design of Interest Rate Rules. 2004.