| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4684 |
| 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 |
| URL | https://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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