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Abstract

We use robust control techniques to study the effects of model uncertainty on monetary policy in an estimated, semi-structural, small-open-economy model of the U.K. Compared to the closed economy, the presence of an exchange rate channel for monetary policy not only produces new trade-offs for monetary policy, but it also introduces an additional source of specification errors. We find that exchange rate shocks are an important contributor to volatility in the model, and that the exchange rate equation is particularly vulnerable to model misspecification, along with the equation for domestic inflation. However, when policy is set with discretion, the cost of insuring against model misspecification appears reasonably small.

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Paper provided by IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University in its series Working Papers with number 316.

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Date of creation: 2006
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Handle: RePEc:igi:igierp:316

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Find related papers by JEL classification:

• E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
• E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
• F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

This paper has been announced in the following NEP Reports:

• NEP-ALL-2006-12-16 (All new papers)
• NEP-CBA-2006-12-16 (Central Banking)
• NEP-INT-2006-12-16 (International Trade)
• NEP-MAC-2006-12-16 (Macroeconomics)
• NEP-MON-2006-12-16 (Monetary Economics)

References

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Cited by:

1. Dennis, Richard, 2010. "How robustness can lower the cost of discretion," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 653-667, September.
2. Pierpaolo Benigno & Luigi Paciello, 2010. "Monetary Policy, Doubts and Asset Prices," EIEF Working Papers Series 1024, Einaudi Institute for Economic and Finance (EIEF), revised Sep 2010.
   
   • Pierpaolo Benigno & Luigi Paciello, 2010. "Monetary Policy, Doubts and Asset Prices," NBER Working Papers 16386, National Bureau of Economic Research, Inc.
   • Pierpaolo Beningo & Luigi Paciello, 2011. "Monetary Policy, Doubts and Asset Prices," 2011 Meeting Papers 857, Society for Economic Dynamics.
3. Richard Dennis, 2007. "Model uncertainty and monetary policy," Working Paper Series 2007-09, Federal Reserve Bank of San Francisco.
   
   • Richard Dennis, 2008. "Model Uncertainty And Monetary Policy," CAMA Working Papers 2009-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
   • Richard Dennis, 2008. "Model Uncertainty and Monetary Policy," NCER Working Paper Series 30, National Centre for Econometric Research.
4. Leitemo , Kai & Söderström , Ulf, 2005. "Robust monetary policy in a small open economy," Research Discussion Papers 20/2005, Bank of Finland.
   
   • Leitemo, Kai & Söderström, Ulf, 2008. "Robust monetary policy in a small open economy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3218-3252, October.
   • Kai Leitemo & Ulf Söderstrom, 2005. "Robust Monetary Policy in a Small Open Economy," Working Papers 290, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
   • Leitemo, Kai & Söderström, Ulf, 2005. "Robust Monetary Policy in a Small Open Economy," CEPR Discussion Papers 5071, C.E.P.R. Discussion Papers.
5. Milani, Fabio, 2011. "The impact of foreign stock markets on macroeconomic dynamics in open economies: A structural estimation," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 111-129, February.
6. Dungey, Mardi & Tugrul Vehbi, M, 2011. "A SVECM Model of the UK Economy and The Term Premium," Working Papers 11610, University of Tasmania, School of Economics and Finance.
   
   • Mardi Dungey & M.Tugrul Vehbi, 2011. "A SVECM Model of the UK Economy and The Term Premium," CAMA Working Papers 2011-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
7. Yulei Luo & Jun Nie & Eric R. Young, 2010. "Robust control, informational frictions, and international consumption correlations," Research Working Paper RWP 10-16, Federal Reserve Bank of Kansas City.
   
   • Yulei Luo & Eric R.Young & Jun Nie, 2011. "Robust Control, Informational Frictions, and International Consumption Correlations," 2011 Meeting Papers 209, Society for Economic Dynamics.
8. Ellison, Martin & Sargent, Thomas J, 2009. "A defence of the FOMC," CEPR Discussion Papers 7510, C.E.P.R. Discussion Papers.
   
   • Martin Ellison & Thomas J. Sargent, 2012. "A Defense Of The Fomc," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1047-1065, November.
   • Martin Ellison & Thomas J. Sargent, 2009. "A defence of the FOMC," Economics Series Working Papers 457, University of Oxford, Department of Economics.
9. Marek Rusnak & Tomas Havranek & Roman Horvath, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," CERGE-EI Working Papers wp446, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
   
   • Marek Rusnak & Tomas Havranek & Roman Horvath, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers 2011/02, Czech National Bank, Research Department.
   • Marek Rusnák & Tomáš Havránek & Roman Horváth, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers IES 2011/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
10. repec:pra:mprapa:5114 is not listed on IDEAS
11. Juan Paez-Farrell, 2012. "Taylor rules, fear of floating and the role of the exchange rate in monetary policy: a case of observational equivalence," Discussion Paper Series 2012_07, Department of Economics, Loughborough University, revised Jun 2012.

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