| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4805 |
| DP4805 Robust Monetary Policy in the New-Keynesian Framework | |
| Ulf Söderström; Kai Leitemo | |
| 发表日期 | 2004-12-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We study the effects of model uncertainty in a simple New-Keynesian model using robust control techniques. Due to the simple model structure, we are able to find closed-form solutions for the robust control problem, analysing both instrument rules and targeting rules under different timing assumptions. In all cases but one, an increased preference for robustness makes monetary policy respond more aggressively to cost shocks but leaves the response to demand shocks unchanged. As a consequence, inflation is less volatile and output is more volatile than under the non-robust policy. Under one particular timing assumption, however, increasing the preference for robustness has no effect on the optimal targeting rule (nor on the economy). |
| 主题 | International Macroeconomics |
| 关键词 | Knightian uncertainty Model uncertainty Robust control Min-max policies |
| URL | https://cepr.org/publications/dp4805 |
| 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/533716 |
| 推荐引用方式 GB/T 7714 | Ulf Söderström,Kai Leitemo. DP4805 Robust Monetary Policy in the New-Keynesian Framework. 2004. |
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