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A new approach for modelling and understanding optimal monetary policy

  • Romaniuk, Katarzyna
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    The coefficients of Taylor's [Taylor, J.B., 1993. Discretion versus policy rules in practice. Carnegie Rochester Conference Series on Public Policy 39, 195-214] monetary policy rule can be seen as portfolio weights. Their optimal values are derived by adapting Merton's [Merton, R.C., 1971. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3, 373-413] asset allocation model.

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    File URL: http://www.sciencedirect.com/science/article/B6V84-4R1MDXV-2/1/135fd2cc46b6f2fd2c4a05ead396eaff
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 100 (2008)
    Issue (Month): 1 (July)
    Pages: 13-15

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    Handle: RePEc:eee:ecolet:v:100:y:2008:i:1:p:13-15
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Glenn Rudebusch & Lars E.O. Svensson, 1999. "Policy Rules for Inflation Targeting," NBER Chapters, in: Monetary Policy Rules, pages 203-262 National Bureau of Economic Research, Inc.
    2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    3. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
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