This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Learning About the Term Structure and Optimal Rules for Inflation Targeting Author info | Abstract | Publisher info | Download info | Related research | Statistics Eijffinger, Sylvester C W
Schaling, Eric
Tesfaselassie, Mewael F.
Additional information is available for the following
registered author(s):
In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework. We find that under flexible inflation targeting and uncertainty in the degree of persistence in the economy, allowing for active learning possibilities has effects on the optimal interest rate rule followed by the central bank. For a wide range of possible initial beliefs about the unknown parameter, the dynamically optimal rule is in general more activist, in the sense of responding aggressively to the state of the economy, than the myopic rule for small to moderate deviations of the state variable from its target. On the other hand, for large deviations, the optimal policy is less activist than the myopic and the certainty equivalence policies.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
5896.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: Oct 2006Date of revision:
Handle: RePEc:cpr:ceprdp:5896Contact details of provider: Postal: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG Phone: 44 - 20 - 7183 8801 Fax: 44 - 20 - 7183 8820
Order Information: Email:
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: learning rational expectations separation principle term structure of interest rates Other versions of this item:
Paper Tesfaselassie, Mewael F. & Schaling, Eric & Eijffinger, Sylvester, 2006.
"Learning about the term structure and optimal rules for inflation targeting ,"
Discussion Paper
88, Tilburg University, Center for Economic Research.
[Downloadable!] Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W., 2006.
"Learning About the Term Structure and Optimal Rules for Inflation Targeting ,"
Research Paper
ERS-2006-058-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!] Find related papers by JEL classification: C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Yetman, James, 2003.
"Probing potential output: Monetary policy, credibility, and optimal learning under uncertainty ,"
Journal of Macroeconomics ,
Elsevier, vol. 25(3), pages 311-330, September.
[Downloadable!] (restricted)
Other versions:
Yetman, James, 2000.
"Probing Potential Output: Monetary Policy, Credibility, and Optimal Learning under Uncertainty ,"
Working Papers
00-10, Bank of Canada.
[Downloadable!] James Yetman, 2000.
"Probing Potential Output: Monetary Policy, Credibility And Optimal Learning Under Uncertainty ,"
Computing in Economics and Finance 2000
181, Society for Computational Economics.
[Downloadable!] Ellison, Martin, 2003.
"The Learning Cost of Interest Rate Reversals ,"
CEPR Discussion Papers
4135, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Richard Clarida & Jordi Gali & Mark Gertler, 1999.
"The Science of Monetary Policy: A New Keynesian Perspective ,"
Journal of Economic Literature ,
American Economic Association, vol. 37(4), pages 1661-1707, December.
[Downloadable!] (restricted)
Other versions:
Clarida, Richard & Galí, Jordi & Gertler, Mark, 1999.
"The Science of Monetary Policy: A New Keynesian Perspective ,"
CEPR Discussion Papers
2139, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Clarida, R. & Gali, J. & Gertler, M., 1999.
"The Science of Monetary Policy: A New Keynesian Perspective ,"
Working Papers
99-13, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] Richard Clarida & Jordi Galí & Mark Gertler, 1997.
"The Science of Monetary Policy: A New Keynesian Perspective ,"
Economics Working Papers
356, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 1999.
[Downloadable!] Richard Clarida & Jordi Gali & Mark Gertler, 1999.
"The Science of Monetary Policy: A New Keynesian Perspective ,"
NBER Working Papers
7147, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) James Bullard & Kaushik Mitra, 2002.
"Learning about monetary policy rules ,"
Working Papers
2000-001, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions:
Kaushik Mitra & James Bullard, .
"Learning About Monetary Policy Rules ,"
Discussion Papers
00/41, Department of Economics, University of York.
[Downloadable!] Bullard, James & Mitra, Kaushik, 2002.
"Learning about monetary policy rules ,"
Journal of Monetary Economics ,
Elsevier, vol. 49(6), pages 1105-1129, September.
[Downloadable!] (restricted) Eric Schaling, James Bullard, 2001.
"New economy : new policy rules? ,"
Computing in Economics and Finance 2001
53, Society for Computational Economics.
[Downloadable!]
Other versions:
Bullard, J. & Schaling, E., 2000.
"New economy : new policy rules? ,"
Discussion Paper
72, Tilburg University, Center for Economic Research.
[Downloadable!] James Bullard & Eric Schaling, 2000.
"New economy - new policy rules? ,"
Working Papers
2000-019, Federal Reserve Bank of St. Louis.
[Downloadable!] James B. Bullard & Eric Schaling, 2001.
"New economy-new policy rules ,"
Review ,
Federal Reserve Bank of St. Louis, issue May, pages 57-66.
[Downloadable!] Wieland, Volker, 2000.
"Learning by doing and the value of optimal experimentation ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(4), pages 501-534, April.
[Downloadable!] (restricted)
Other versions: James B. Bullard, 1991.
"Learning, rational expectations and policy: a summary of recent research ,"
Review ,
Federal Reserve Bank of St. Louis, issue Jan, pages 50-60.
[Downloadable!]
James Bullard & Eric Schaling, 2006.
"Monetary policy, determinacy, and learnability in the open economy ,"
Working Paper Series
611, European Central Bank.
[Downloadable!]
Other versions:
Eric Schaling & James Bullard, 2005.
"Monetary Policy, Determinacy, and Learnability in the Open Economy ,"
Computing in Economics and Finance 2005
362, Society for Computational Economics.
Bullard, James & Schaling, Eric, 2005.
"Monetary policy, determinancy, and learnability in the open economy ,"
Discussion Paper
116, Tilburg University, Center for Economic Research.
[Downloadable!] Svensson, Lars E. O., 1997.
"Inflation forecast targeting: Implementing and monitoring inflation targets ,"
European Economic Review ,
Elsevier, vol. 41(6), pages 1111-1146, June.
[Downloadable!] (restricted)
Other versions:
Svensson, L-E-O, 1996.
"Inflation Forecast Targeting : Implementaing and Monitoring Inflation Targets ,"
Papers
615, Stockholm - International Economic Studies.
Svensson, Lars E.O., 1997.
"Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets ,"
Seminar Papers
615, Stockholm University, Institute for International Economic Studies.
[Downloadable!] Svensson, Lars E O, 1996.
"Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets ,"
CEPR Discussion Papers
1511, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Lars E. O. Svensson, 1997.
"Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets ,"
NBER Working Papers
5797, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Lars E O Svensson, .
"Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets ,"
Bank of England working papers
56, Bank of England.
Eijffinger, Sylvester C W & Schaling, Eric & Verhagen, Willem, 2000.
"The Term Structure of Interest Rates and Inflation Forecast Targeting ,"
CEPR Discussion Papers
2375, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: George W. Evans & Seppo Honkapohja, 2003.
"Adaptive learning and monetary policy design ,"
Proceedings ,
Federal Reserve Bank of Cleveland, pages 1045-1084.
Other versions:
George W. Evans & Seppo Honkapohja, 2002.
"Adaptive Learning and Monetary Policy Design ,"
University of Oregon Economics Department Working Papers
2002-18, University of Oregon Economics Department, revised 04 Mar 2004.
[Downloadable!] George W. Evans & Seppo Honkapohja, 2004.
"Adaptive learning and monetary policy design ,"
Macroeconomics
0405008, EconWPA.
[Downloadable!] Evans, George W & Honkapohja, Seppo, 2003.
"Adaptive Learning and Monetary Policy Design ,"
CEPR Discussion Papers
3962, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Evans, George W. & Honkapohja, Seppo, 2002.
"Adaptive learning and monetary policy design ,"
Research Discussion Papers
29/2002, Bank of Finland.
[Downloadable!] Andrew T. Levin & Richhild Moessner, 2005.
"Inflation persistence and monetary policy design - an overview ,"
Working Paper Series
539, European Central Bank.
[Downloadable!]
Beck, Gunter W. & Wieland, Volker, 2002.
"Learning and control in a changing economic environment ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 26(9-10), pages 1359-1377, August.
[Downloadable!] (restricted)
Volker Wieland, 2006.
"Monetary Policy and Uncertainty about the Natural Unemployment Rate: Brainard-Style Conservatism versus Experimental Activism ,"
Advances in Macroeconomics ,
Berkeley Electronic Press, vol. 6(1), pages 1288-1288.
[Downloadable!] (restricted)
Kiefer, Nicholas M & Nyarko, Yaw, 1989.
"Optimal Control of an Unknown Linear Process with Learning ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 571-86, August.
[Downloadable!] (restricted)
Schaling, Eric, 2004.
"The Nonlinear Phillips Curve and Inflation Forecast Targeting: Symmetric versus Asymmetric Monetary Policy Rules ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 36(3), pages 361-86, June.
Other versions: Rudebusch, Glenn D. & Svensson, Lars E. O., 2002.
"Eurosystem monetary targeting: Lessons from U.S. data ,"
European Economic Review ,
Elsevier, vol. 46(3), pages 417-442, March.
[Downloadable!] (restricted)
Other versions:
Glenn D. Rudebusch & Lars E.O. Svensson, 1999.
"Eurosystem monetary targeting: lessons from U.S. data ,"
Working Papers in Applied Economic Theory
99-13, Federal Reserve Bank of San Francisco.
[Downloadable!] 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.
[Downloadable!] (restricted) Rudebusch, Glenn & Svensson, Lars, 1999.
"Eurosystem Monetary Targeting: Lessons from U.S. Data ,"
Seminar Papers
672, Stockholm University, Institute for International Economic Studies.
[Downloadable!] Rudebusch, Glenn D & Svensson, Lars E O, 2000.
"Eurosystem Monetary Targeting: Lessons from US Data ,"
CEPR Discussion Papers
2522, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Rudebusch, Glenn D. & Svensson, Lars E. O., 1999.
"Eurosystem Monetary Targeting: Lessons from U.S. Data ,"
Working Paper Series
92, Sveriges Riksbank (Central Bank of Sweden).
[Downloadable!] Rudebusch, G. & Svensson, L.E.O., 1999.
"Eurosystem Monetary Targeting: Lessons from U.S. Data ,"
Papers
672, Stockholm - International Economic Studies.
Full
references
Access and
download statistics Did you know? There is a FAQ (frequently asked questions).
This page was last updated on 2008-8-19.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .