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Book The Performance of Forecast based Monetary Policy Rules Under Model Uncertainty

Download or read book The Performance of Forecast based Monetary Policy Rules Under Model Uncertainty written by Andrew Levin and published by . This book was released on 2003 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Simple Monetary Policy Rules Under Model Uncertainty

Download or read book Simple Monetary Policy Rules Under Model Uncertainty written by Ann-Charlotte Eliasson and published by International Monetary Fund. This book was released on 1999-05-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using stochastic simulations and stability analysis, the paper compares how different monetary rules perform in a moderately nonlinear model with a time-varying nonaccelerating-inflation-rate-of-unemployment (NAIRU). Rules that perform well in linear models but implicitly embody backward-looking measures of real interest rates (such as conventional Taylor rules) or substantial interest rate smoothing perform very poorly in models with moderate nonlinearities, particularly when policymakers tend to make serially correlated errors in estimating the NAIRU. This challenges the practice of evaluating rules within linear models, in which the consequences of responding myopically to significant overheating are extremely unrealistic.

Book Monetary Policy with Model Uncertainty

Download or read book Monetary Policy with Model Uncertainty written by Lars E. O. Svensson and published by . This book was released on 2005 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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

Book Real time Model Uncertainty in the United States

Download or read book Real time Model Uncertainty in the United States written by Robert J. Tetlow and published by . This book was released on 2010 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Model Uncertainty and the Design of Robust Monetary Policy Rules in a Small Open Economy

Download or read book Model Uncertainty and the Design of Robust Monetary Policy Rules in a Small Open Economy written by Daniel O. Beltran and published by . This book was released on 2007 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Monetary Policy Rules

Download or read book Monetary Policy Rules written by John B. Taylor and published by University of Chicago Press. This book was released on 2007-12-01 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume presents the latest thinking on the monetary policy rules and seeks to determine just what types of rules and policy guidelines function best. A unique cooperative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, this collection presents their striking findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment, and exchange. Monetary Policy Rules illustrates that simple policy rules are more robust and more efficient than complex rules with multiple variables. A state-of-the-art appraisal of the fundamental issues facing the Federal Reserve Board and other central banks, Monetary Policy Rules is essential reading for economic analysts and policymakers alike.

Book The Inflation Targeting Debate

Download or read book The Inflation Targeting Debate written by Ben S. Bernanke and published by University of Chicago Press. This book was released on 2007-11-01 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past fifteen years, a significant number of industrialized and middle-income countries have adopted inflation targeting as a framework for monetary policymaking. As the name suggests, in such inflation-targeting regimes, the central bank is responsible for achieving a publicly announced target for the inflation rate. While the objective of controlling inflation enjoys wide support among both academic experts and policymakers, and while the countries that have followed this model have generally experienced good macroeconomic outcomes, many important questions about inflation targeting remain. In Inflation Targeting, a distinguished group of contributors explores the many underexamined dimensions of inflation targeting—its potential, its successes, and its limitations—from both a theoretical and an empirical standpoint, and for both developed and emerging economies. The volume opens with a discussion of the optimal formulation of inflation-targeting policy and continues with a debate about the desirability of such a model for the United States. The concluding chapters discuss the special problems of inflation targeting in emerging markets, including the Czech Republic, Poland, and Hungary.

Book Central Banking in Theory and Practice

Download or read book Central Banking in Theory and Practice written by Alan S. Blinder and published by MIT Press. This book was released on 1999-01-07 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alan S. Blinder offers the dual perspective of a leading academic macroeconomist who served a stint as Vice-Chairman of the Federal Reserve Board—one who practiced what he had long preached and then returned to academia to write about it. He tells central bankers how they might better incorporate academic knowledge and thinking into the conduct of monetary policy, and he tells scholars how they might reorient their research to be more attuned to reality and thus more useful to central bankers. Based on the 1996 Lionel Robbins Lectures, this readable book deals succinctly, in a nontechnical manner, with a wide variety of issues in monetary policy. The book also includes the author's suggested solution to an age-old problem in monetary theory: what it means for monetary policy to be "neutral."

Book Uncertainty About the Length of the Monetary Policy Transmission Lag

Download or read book Uncertainty About the Length of the Monetary Policy Transmission Lag written by Yuong Ha and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines implications for monetary policy of uncertainty about the length of the monetary policy transmission lag in a stochastic environment. Two key questions are asked. Firstly, which type of inflation-forecast-based rules work well when the central bank does not know the length of the monetary policy transmission lag? The results show that rules that are less aggressive and more forward looking are more robust. That is, the performance of these rules are least affected by lag uncertainty. However, it is still the case that relatively more aggressive and less forward looking rules will produce lower inflation variability. With any inflation forecasting model, policymakers must take a view on how quickly their actions impact on inflation. There will always be a significant degree of uncertainty surrounding this transmission lag such that a central bank is unlikely to get this right all the time. The second question asks, is it better to overestimate or underestimate this transmission lag? When the lag is overestimated (underestimated), the central bank behaves as if inflation is harder (easier) to control than it really is. The results show that a strategy of overestimating is superior to underestimating the lag. In fact, it may be even be a preferred strategy to knowing the true lag.

Book Designing a Simple Loss Function for Central Banks

Download or read book Designing a Simple Loss Function for Central Banks written by Davide Debortoli and published by International Monetary Fund. This book was released on 2017-07-21 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates.

Book Forecast based Monetary Policy

Download or read book Forecast based Monetary Policy written by Jeffery D. Amato and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: TThis article analyses the welfare consequences of delegating to the central bank the task of minimising deviations of forecasts of goal variables from their target values. The delegated objectives considered in this article are motivated by the observation that central banks oftentimes operate under objectives which do not necessarily represent society's preferences. The analysis is performed using an estimated model of optimising households and firms that generates tradeoffs between stabilising wage and price inflation and the output gap. We find that when the central bank's objective is defined solely in terms of price inflation, it is welfare optimal to stabilise only those fluctuations in price inflation that are forecastable at least five quarters ahead. On the other hand, when the central bank's objective involves both wage and price inflation stabilisation, the central bank should stabilise all fluctuations in these variables, not just those forecastable at some horizon.least five quarters ahead. On the other hand, when the central bank's objective involves both wage and price inflation stabilisation, the central bank should stabilise all fluctuations in these variables, not just those forecastable at some horizon.

Book Robust Monetary Policy Rules with Unknown Natural Rates

Download or read book Robust Monetary Policy Rules with Unknown Natural Rates written by Athanasios Orphanides and published by . This book was released on 2003 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Evolving Monetary Policy Frameworks in Low Income and Other Developing Countries

Download or read book Evolving Monetary Policy Frameworks in Low Income and Other Developing Countries written by International Monetary Fund and published by International Monetary Fund. This book was released on 2015-10-23 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past two decades, many low- and lower-middle income countries (LLMICs) have improved control over fiscal policy, liberalized and deepened financial markets, and stabilized inflation at moderate levels. Monetary policy frameworks that have helped achieve these ends are being challenged by continued financial development and increased exposure to global capital markets. Many policymakers aspire to move beyond the basics of stability to implement monetary policy frameworks that better anchor inflation and promote macroeconomic stability and growth. Many of these LLMICs are thus considering and implementing improvements to their monetary policy frameworks. The recent successes of some LLMICs and the experiences of emerging and advanced economies, both early in their policy modernization process and following the global financial crisis, are valuable in identifying desirable features of such frameworks. This paper draws on those lessons to provide guidance on key elements of effective monetary policy frameworks for LLMICs.