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Monetary policy as a source of uncertainty

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  • André P. Calmon

    (FAPESP - Department of Telematics of the School of Electrical and Computer Engineering - University of Campinas,)

  • Thomas Vallée

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

  • João B. R. Do Val

    (FAPESP - Department of Telematics of the School of Electrical and Computer Engineering - University of Campinas,)

Abstract

This paper proposes a model in which control variations induce an increase in the uncertainty of the system. The aim of our paper is to provide a stochastic theoretical model that can be used to explain under which uncertainty conditions monetary policy rules should be less or more aggressive, or, simply, applied or not.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00422454.

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Date of creation: 2009
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Handle: RePEc:hal:wpaper:hal-00422454

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  1. Ulf Soderstrom & Richard Dennis, 2003. "How Important is Precommitment for Monetary Policy?," Computing in Economics and Finance 2003 49, Society for Computational Economics.
  2. Noah Williams & Lars E.O. Svensson, 2007. "Bayesian and Adaptive Optimal Policy under Model Uncertainty," 2007 Meeting Papers, Society for Economic Dynamics 446, Society for Economic Dynamics.
  3. Andrew P Blake & Fabrizio Zampolli, 2006. "Optimal monetary policy in Markov-switching models with rational expectations agents," Bank of England working papers 298, Bank of England.
  4. Svensson, Lars E. O. & Williams, Noah, 2005. "Monetary policy with model uncertainty: distribution forecast targeting," Discussion Paper Series 1: Economic Studies 2005,35, Deutsche Bundesbank, Research Centre.
  5. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2008. "Welfare-Maximizing Monetary Policy Under Parameter Uncertainty," CAMA Working Papers 2008-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Rudebusch, G.D. & Svensson, L.E.O., 1998. "Policy Rules for Inflation Targeting," Papers, Stockholm - International Economic Studies 637, Stockholm - International Economic Studies.
  7. Matthew B. Canzoneri, 1983. "Monetary policy games and the role of private information," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 249, Board of Governors of the Federal Reserve System (U.S.).
  8. Alexei Onatski & James H. Stock, 2000. "Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy," NBER Working Papers 7490, National Bureau of Economic Research, Inc.
  9. Mercado, P. Ruben & Kendrick, David A., 2000. "Caution in macroeconomic policy: uncertainty and the relative intensity of policy," Economics Letters, Elsevier, vol. 68(1), pages 37-41, July.
  10. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 134-44, January.
  11. Otmar Issing, 2002. "Monetary Policy In A World of Uncertainty," Economie Internationale, CEPII research center, issue 92, pages 165-179.
  12. P. Mercado & David Kendrick, 2006. "Parameter Uncertainty and Policy Intensity: Some Extensions and Suggestions for Further Work," Computational Economics, Society for Computational Economics, vol. 27(4), pages 483-496, June.
  13. Sophie Pardo & Nicolas Rautureau & Thomas Vallée, 2010. "Optimal versus realized policy rules in a regime-switching framework," Working Papers hal-00462957, HAL.
  14. 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.
  15. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 1(1), pages 19-46, January.
  16. Craine, Roger, 1979. "Optimal monetary policy with uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 1(1), pages 59-83, February.
  17. repec:hal:wpaper:hal-00462957_v1 is not listed on IDEAS
  18. Tillmann, Peter, 2011. "Parameter Uncertainty And Nonlinear Monetary Policy Rules," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 15(02), pages 184-200, April.
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