G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4684
DP4684 Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk
Robert P Flood; Andrew Rose
发表日期2004-10-23
出版年2004
语种英语
摘要This Paper identifies optimal interest-rate rules within a rich, dynamic, general equilibrium model that has been shown to account well for observed aggregate dynamics in the post-war United States. We perform policy evaluations based on second-order accurate approximations to conditional and unconditional expected welfare. We require that interest-rate rules be operational, in the sense that they include as arguments only a few readily observable macroeconomic indicators and respect the zero bound on nominal interest rates. We find that the optimal operational monetary policy is a real-interest-rate targeting rule. That is, an interest-rate feedback rule featuring a unit inflation coefficient, a mute response to output, and no interest-rate smoothing. Contrary to existing studies, we find a significant degree of optimal inflation volatility. A key factor driving this result is the assumption of indexation to past inflation. Under indexation to long-run inflation the optimal inflation volatility is close to zero. Finally, we show that initial conditions matter for welfare rankings of policies.
主题International Macroeconomics
关键词Monetary policy evaluation Inflation stabilization Business cycles
URLhttps://cepr.org/publications/dp4684
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/533605
推荐引用方式
GB/T 7714
Robert P Flood,Andrew Rose. DP4684 Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk. 2004.
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