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Comportement du banquier central en environnement incertain

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  • Sanvi Avouyi-Dovi
  • Jean-Guillaume Sahuc

Abstract

Several recent papers are devoted to the examination of the central banker?s behaviour in an uncertain economic environment. This paper proposes, from a central banker?s point of view, a synthesis of the main sources of uncertainty as well as an illustration of their effects within an analytical framework. In particular, it shows that depending on the type of uncertainty and the choice of the selected loss function, the recommendations for monetary policy can be noticeably different. Retaining an ad hoc loss function ? discretionary choice ? in place of an endogenous loss function ? choice consistent with the structural parameters ? can involve considerable welfare losses.

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Bibliographic Info

Article provided by Dalloz in its journal Revue d'économie politique.

Volume (Year): Volume 119 (2009)
Issue (Month): 1 ()
Pages: 119-142

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Handle: RePEc:cai:repdal:redp_191_0119

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Web page: http://www.cairn.info/revue-d-economie-politique.htm

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Keywords: Monetary policy; Uncertainty; Macroeconomic Model;

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References

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  1. Glenn D. Rudebusch & Lars E.O. Svensson, 1999. "Eurosystem Monetary Targeting: Lessons from U.S. Data," NBER Working Papers 7179, National Bureau of Economic Research, Inc.
  2. Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," Data, EconWPA 0503001, EconWPA.
  3. Takeshi Kimura & Takushi Kurozumi, 2003. "Optimal monetary policy in a micro-founded model with parameter uncertainty," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-67, Board of Governors of the Federal Reserve System (U.S.).
  4. Julio Rotemberg & Michael Woodford, 1997. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 1997, Volume 12, pages 297-361 National Bureau of Economic Research, Inc.
  5. David Longworth, 2003. "Implications of a changing economic structure for the strategy of monetary policy : commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 349-360.
  6. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," NBER Working Papers 10025, National Bureau of Economic Research, Inc.
  7. Muro, Kazunobu, 2007. "Individual preferences and the effect of uncertainty on irreversible investment," Research in Economics, Elsevier, Elsevier, vol. 61(4), pages 191-207, December.
  8. Walsh, Carl E., 2004. "Implications of a Changing Economic Structure for the Strategy of Monetary Policy," Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz qt84g1q1g6, Center for International Economics, UC Santa Cruz.
  9. Svensson, Lars E. O. & Woodford, Michael, 2001. "Indicator Variables for Optimal Policy under Asymmetric Information," Seminar Papers, Stockholm University, Institute for International Economic Studies 689, Stockholm University, Institute for International Economic Studies.
  10. Malcolm D. Knight & Chair, 2003. "Implications of a changing economic structure for the strategy of monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 361-371.
  11. Aoki, Kosuke, 2003. "On the optimal monetary policy response to noisy indicators," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(3), pages 501-523, April.
  12. Richard Dennis, 2005. "Uncertainty and monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov30.
  13. Frank Smets, 2002. "Output gap uncertainty: Does it matter for the Taylor rule?," Empirical Economics, Springer, Springer, vol. 27(1), pages 113-129.
  14. Fuhrer, Jeffrey C & Moore, George R, 1995. "Monetary Policy Trade-offs and the Correlation between Nominal Interest Rates and Real Output," American Economic Review, American Economic Association, vol. 85(1), pages 219-39, March.
  15. John C. Williams & Andrew T. Levin, 2003. "Parameter Uncertainty and the Central Bank's Objective Function," Computing in Economics and Finance 2003 215, Society for Computational Economics.
  16. Walsh, Carl E., 2005. "Endogenous objectives and the evaluation of targeting rules for monetary policy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 52(5), pages 889-911, July.
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Cited by:
  1. Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
  2. Monfort, A., 2009. "Optimal Portfolio Allocation under Asset and Surplus VaR Constraints," Working papers, Banque de France 251, Banque de France.

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