Format:
62 S.
,
graph. Darst.
Series Statement:
National Bureau of Economic Research 〈Cambridge, Mass.〉: NBER working paper series 11733
Content:
"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.""--National Bureau of Economic Research web site.
Additional Edition:
Erscheint auch als Internetausgabe
Language:
English
Subjects:
Economics
Keywords:
Geldpolitik
;
Risiko
;
Ökonometrisches Modell
;
Prognoseverfahren
URL:
Volltext
(kostenfrei)
Author information:
Svensson, Lars E. O. 1947-
