| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w9566
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| 来源ID | Working Paper 9566
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| Modeling Model Uncertainty |
| Alexei Onatski; Noah Williams
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| 发表日期 | 2003-03-17
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| 出版年 | 2003
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| 语种 | 英语
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| 摘要 | Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about the parameters of a model, the lag specification, the serial correlation of shocks, and the effects of real time data in one coherent structure. We consider both parametric and nonparametric specifications of this structure and use them to estimate the uncertainty in a small model of the US economy. We then use our estimates to compute robust Bayesian and minimax monetary policy rules, which are designed to perform well in the face of uncertainty. Our results suggest that the aggressiveness recently found in robust policy rules is likely to be caused by overemphasizing uncertainty about economic dynamics at low frequencies. |
| 主题 | Macroeconomics
; Monetary Policy
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| URL | https://www.nber.org/papers/w9566
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567188
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推荐引用方式
GB/T 7714 |
Alexei Onatski,Noah Williams. Modeling Model Uncertainty. 2003.
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文件名：
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w9566.pdf
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格式：
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Adobe PDF
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