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Comportement du banquier central en environnement incertain

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Listed:
  • Avouyi-Dovi, S.
  • Sahuc, J-G.

Abstract

Several recent papers are devoted to the examination of the central banker's behaviour in an uncertain economic environment. This paper proposes, from a central banker's point of view, a synthesis of the main sources of uncertainty as well as an illustration of their effects within an analytical framework. In particular, it shows that depending on the type of uncertainty and the choice of the selected loss function, the recommendations for monetary policy can be noticeably different. Retaining an ad hoc loss function - discretionary choice - in place of an endogenous loss function - choice consistent with the structural parameters - can involve considerable welfare losses.

Suggested Citation

  • Avouyi-Dovi, S. & Sahuc, J-G., 2009. "Comportement du banquier central en environnement incertain," Working papers 241, Banque de France.
  • Handle: RePEc:bfr:banfra:241
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    References listed on IDEAS

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    13. Julio Rotemberg & Michael Woodford, 1997. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 1997, Volume 12, pages 297-361, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    2. Alain Monfort, 2008. "Optimal portfolio allocation under asset and surplus VaR constraints," Journal of Asset Management, Palgrave Macmillan, vol. 9(3), pages 178-192, September.

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    More about this item

    Keywords

    Monetary policy ; Uncertainty ; Macroeconomic Model.;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • 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

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