| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5148 |
| DP5148 Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach | |
| Tan Wang; Lorenzo Garlappi | |
| 发表日期 | 2005-07-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | In this paper, we analyze the relation between interest rate targets and money supply in a (bubble-free) rational expectation equilibrium of a standard cash-in-advance model. We examine contingent monetary injections aimed to implement interest rate sequences that satisfy interest rate target rules. An interest rate target with a positive inflation feedback in general corresponds to money growth rates rising with inflation. When prices are not completely flexible, this implies that a non-destabilizing money supply cannot implement a forward-looking and active interest rate rule. This principle also applies for an alternative model version with an interest elastic money demand. The implementation of a Taylor rule then requires a money supply that leads to explosive or oscillatory equilibrium sequences. In contrast, an inertial interest rate target can be implemented by a non-destabilizing money supply, even if the inflation feedback exceeds one, which is often found in interest rate rule regressions. |
| 主题 | International Macroeconomics |
| 关键词 | Interest rate rules Contingent money supply Macroeconomic stability Policy equivalence Interest rate inertia |
| URL | https://cepr.org/publications/dp5148 |
| 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/534034 |
| 推荐引用方式 GB/T 7714 | Tan Wang,Lorenzo Garlappi. DP5148 Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. 2005. |
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