| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6050 |
| DP6050 The Age of Mass Migration: Economic and Institutional Determinants | |
| Graziella Bertocchi; Chiara Strozzi | |
| 发表日期 | 2007-01-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Motivated by policy statements of central bankers, we propose to regard the central banker as a risk manager who aims at containing inflation and the deviation of output from potential within pre-specified bounds. We develop formal tools of risk management that may be used to quantify the risks of failing to attain that objective. Risk measures inherently depend on the loss function of the user. We propose a simple, yet flexible class of loss functions that nests the standard assumption of quadratic symmetric preferences, while being congruent with a risk management model. We show how the parameters of this loss function under weak assumptions may be estimated from realizations for inflation and output gap data even in the absence of a fully specified structural model of the economy. We present estimates of the Federal Reserve?s risk aversion parameters with respect to the inflation and output objectives during the Greenspan period. We formally test for and reject the standard assumptions of quadratic and symmetric preference that underlies the derivation of the Taylor rule. Our results suggest that Fed policy decisions under Greenspan are better understood in terms of the Fed weighing upside and downside risks to their objectives rather than simply responding to the conditional mean of inflation and of the output gap. We derive a natural generalization of the Taylor rule that links changes in the interest rate to the balance of the risks implied by the dual objective of sustainable economic growth and price stability. Unlike standard Taylor rules, this generalized policy rule is consistent with the wording of policy decisions by the Federal Reserve. |
| 主题 | International Macroeconomics |
| 关键词 | Greenspan inflation monetary policy Output Policy rule Preferences Risk |
| URL | https://cepr.org/publications/dp6050 |
| 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/534883 |
| 推荐引用方式 GB/T 7714 | Graziella Bertocchi,Chiara Strozzi. DP6050 The Age of Mass Migration: Economic and Institutional Determinants. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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