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Time Consistent Policy in Markov Switching Models

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Author Info
Fabrizio Zampolli (Bank of England)
Andrew Blake (Bank of England)

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Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2005 with number 2.

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Date of creation: 03 Sep 2005
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Handle: RePEc:mmf:mmfc05:2

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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.:
  1. Swanson, Eric T., 2004. "Signal Extraction And Non-Certainty-Equivalence In Optimal Monetary Policy Rules," Macroeconomic Dynamics, Cambridge University Press, vol. 8(01), pages 27-50, February. [Downloadable!]
  2. Fershtman, Chaim, 1989. "Fixed rules and decision rules : Time consistency and subgame perfection," Economics Letters, Elsevier, vol. 30(3), pages 191-194, September. [Downloadable!] (restricted)
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  3. repec:cup:macdyn:v:8:y:2004:i:1:p:27-50 is not listed on IDEAS
  4. Fabrizio Zampolli, 2004. "Optimal monetary policy in a regime-switching economy," Computing in Economics and Finance 2004 166, Society for Computational Economics. [Downloadable!]
  5. Richard Dennis & Ulf Soderstrom, 2002. "How important is precommitment for monetary policy?," Working Papers in Applied Economic Theory 2002-10, Federal Reserve Bank of San Francisco. [Downloadable!]
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  6. Christophe Planas & Alessandro Rossi, 2004. "Can inflation data improve the real-time reliability of output gap estimates?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 121-133. [Downloadable!]
  7. Gilles Oudiz & Jeffrey Sachs, 1985. "International Policy Coordination In Dynamic Macroeconomic Models," NBER Chapters, in: International Economic Policy Coordination, pages 274-330 National Bureau of Economic Research, Inc. [Downloadable!]
  8. Kai Leitemo & Ulf Soderstrom, 2001. "Simple monetary policy rules and exchange rate uncertainty," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
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  9. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July. [Downloadable!] (restricted)
  10. Sharon Kozicki, 2004. "How do data revisions affect the evaluation and conduct of monetary policy?," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-38. [Downloadable!]
  11. Richard Dennis, 2001. "Optimal policy in rational-expectations models: new solution algorithms," Working Papers in Applied Economic Theory 2001-09, Federal Reserve Bank of San Francisco. [Downloadable!]
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  12. Roberds, William, 1987. "Models of Policy under Stochastic Replanning," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 731-55, October. [Downloadable!] (restricted)
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  1. Lars E.O. Svensson & Noah Williams, 2008. "Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 275-294. [Downloadable!]
  2. 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. [Downloadable!]
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  3. Richhild Moessner, 2006. "Optimal monetary policy with uncertainty about financial frictions," Working Paper Series 639, European Central Bank. [Downloadable!]
  4. Lars E.O. Svensson & Noah Williams, 2008. "Optimal Monetary Policy Under Uncertainty in DSGE Models: A Markov Jump-Linear-Quadratic Approach," Working Papers Central Bank of Chile 484, Central Bank of Chile. [Downloadable!]
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  5. Gonzalez F. & Rodriguez A. & Gonzalez-Garcia J.R., 2005. "Uncertainty about the Persistence of Periods with Large Price Shocks and the Optimal Reaction of the Monetary Authority," Computing in Economics and Finance 2005 402, Society for Computational Economics. [Downloadable!]
  6. Lars E.O. Svensson & Noah M. Williams, 2007. "Bayesian and Adaptive Optimal Policy under Model Uncertainty," NBER Working Papers 13414, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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