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A Bayesian approach to optimal monetary policy with parameter and model uncertainty

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  • Cogley, Timothy
  • De Paoli, Bianca
  • Matthes, Christian
  • Nikolov, Kalin
  • Yates, Tony

Abstract

This paper undertakes a Bayesian analysis of optimal monetary policy for the U.K. We estimate a suite of monetary-policy models that include both forward- and backward-looking representations as well as large- and small-scale models. We find an optimal simple Taylor-type rule that accounts for both model and parameter uncertainty. For the most part, backward-looking models are highly fault tolerant with respect to policies optimized for forward-looking representations, while forward-looking models have low fault tolerance with respect to policies optimized for backward-looking representations. In addition, backward-looking models often have lower posterior probabilities than forward-looking models. Bayesian policies therefore have characteristics suitable for inflation and output stabilization in forward-looking models.

Suggested Citation

  • Cogley, Timothy & De Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011. "A Bayesian approach to optimal monetary policy with parameter and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2186-2212.
  • Handle: RePEc:eee:dyncon:v:35:y:2011:i:12:p:2186-2212
    DOI: 10.1016/j.jedc.2011.02.006
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    1. What did Monty Python metaphors ever do for us?
      by Tony Yates in longandvariable on 2018-05-01 09:54:34

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    11. Jasmin Sin, 2016. "The Fiscal Multiplier in Small Open Economy: The Role of Liquidity Frictions," IMF Working Papers 2016/138, International Monetary Fund.
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    21. Górajski Mariusz & Kuchta Zbigniew, 2018. "Measuring Uncertainty of Optimal Simple Monetary Policy Rules in DSGE models," Lodz Economics Working Papers 6/2018, University of Lodz, Faculty of Economics and Sociology.
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    More about this item

    Keywords

    Monetary policy; Bayesian analysis; Statistical decision theory; Quantitative policy modeling;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling

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