| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w11733
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| 来源ID | Working Paper 11733
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| Monetary Policy with Model Uncertainty: Distribution Forecast Targeting |
| Lars Svensson; Noah Williams
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| 发表日期 | 2005-11-07
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| 出版年 | 2005
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| 语种 | 英语
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| 摘要 | We examine optimal and other monetary policies in a linear-quadratic setup with a relatively general form of model uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables. The form of model uncertainty our framework encompasses includes: simple i.i.d. model deviations; serially correlated model deviations; estimable regime-switching models; more complex structural uncertainty about very different models, for instance, backward- and forward-looking models; time-varying central-bank judgment about the state of model uncertainty; and so forth. We provide an algorithm for finding the optimal policy as well as solutions for arbitrary policy functions. This allows us to compute and plot consistent distribution forecasts---fan charts---of target variables and instruments. Our methods hence extend certainty equivalence and "mean forecast targeting" to more general certainty non-equivalence and "distribution forecast targeting." |
| 主题 | Macroeconomics
; Money and Interest Rates
; Monetary Policy
|
| URL | https://www.nber.org/papers/w11733
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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/569383
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推荐引用方式
GB/T 7714 |
Lars Svensson,Noah Williams. Monetary Policy with Model Uncertainty: Distribution Forecast Targeting. 2005.
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文件名：
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w11733.pdf
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格式：
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Adobe PDF
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