| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13892 |
| 来源ID | Working Paper 13892 |
| Optimal Monetary Policy under Uncertainty in DSGE Models: A Markov Jump-Linear-Quadratic Approach | |
| Lars E.O. Svensson; Noah Williams | |
| 发表日期 | 2008-03-20 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We study the design of optimal monetary policy under uncertainty in a dynamic stochastic general equilibrium models. We use a Markov jump-linear-quadratic (MJLQ) approach to study policy design, approximating the uncertainty by different discrete modes in a Markov chain, and by taking mode-dependent linear-quadratic approximations of the underlying model. This allows us to apply a powerful methodology with convenient solution algorithms that we have developed. We apply our methods to a benchmark New Keynesian model, analyzing how policy is affected by uncertainty, and how learning and active experimentation affect policy and losses. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w13892 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571566 |
| 推荐引用方式 GB/T 7714 | Lars E.O. Svensson,Noah Williams. Optimal Monetary Policy under Uncertainty in DSGE Models: A Markov Jump-Linear-Quadratic Approach. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13892.pdf（367KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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