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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

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00422454/en/
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  1. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  2. Glenn D. Rudebusch & Lars E. O. Svensson, 1998. "Policy rules for inflation targeting," Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco 98-03, Federal Reserve Bank of San Francisco.
  3. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2007. "Welfare-maximizing monetary policy under parameter uncertainty," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco.
  4. repec:hal:wpaper:hal-00462957_v1 is not listed on IDEAS
  5. Canzoneri, Matthew B, 1985. "Monetary Policy Games and the Role of Private Information," American Economic Review, American Economic Association, American Economic Association, vol. 75(5), pages 1056-70, December.
  6. Alexei Onatski & James H. Stock, 1999. "Robust monetary policy under model uncertainty in a small model of the U.S. economy," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco.
  7. 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.
  8. Richard Dennis & Ulf Soderstrom, 2002. "How important is precommitment for monetary policy?," Working Paper Series, Federal Reserve Bank of San Francisco 2002-10, Federal Reserve Bank of San Francisco.
  9. Noah Williams & Lars E.O. Svensson, 2005. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," Computing in Economics and Finance 2005, Society for Computational Economics 108, Society for Computational Economics.
  10. Otmar Issing, 2002. "Monetary Policy In A World of Uncertainty," Economie Internationale, CEPII research center, CEPII research center, issue 92, pages 165-179.
  11. P. Mercado & David Kendrick, 2006. "Parameter Uncertainty and Policy Intensity: Some Extensions and Suggestions for Further Work," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 27(4), pages 483-496, June.
  12. Pardo, S. & Rautureau, N. & Vallée, T., 2011. "Optimal versus realized policy rules in a regime-switching framework," Economic Modelling, Elsevier, Elsevier, vol. 28(6), pages 2761-2775.
  13. Svensson, Lars E. O. & Williams, Noah, 2006. "Bayesian and adaptive optimal policy under model uncertainty," CFS Working Paper Series 2007/11, Center for Financial Studies (CFS).
  14. John C. Williams & Andrew T. Levin, 2003. "Parameter Uncertainty and the Central Bank's Objective Function," Computing in Economics and Finance 2003, Society for Computational Economics 215, Society for Computational Economics.
  15. Craine, Roger, 1979. "Optimal monetary policy with uncertainty," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 1(1), pages 59-83, February.
  16. Andrew P Blake & Fabrizio Zampolli, 2006. "Optimal monetary policy in Markov-switching models with rational expectations agents," Bank of England working papers, Bank of England 298, Bank of England.
  17. P. Ruben Mercado & David Kendrick, 1999. "Caution in Macroeconomic Policy: Uncertainty and the Relative Intensity of Policy," Computing in Economics and Finance 1999, Society for Computational Economics 1343, Society for Computational Economics.
  18. 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.
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