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Monetary policy as a source of uncertainty

  • André P. Calmon

    (FAPESP - Department of Telematics of the School of Electrical and Computer Engineering - University of Campinas,)

  • Thomas Vallée

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - UN - Université de Nantes)

  • João B. R. Do Val

    (FAPESP - Department of Telematics of the School of Electrical and Computer Engineering - University of Campinas,)

This paper proposes a model in which control variations induce an increase in the uncertainty of the system. The aim of our paper is to provide a stochastic theoretical model that can be used to explain under which uncertainty conditions monetary policy rules should be less or more aggressive, or, simply, applied or not.

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Paper provided by HAL in its series Working Papers with number hal-00422454.

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Date of creation: 2009
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Handle: RePEc:hal:wpaper:hal-00422454
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  1. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2008. "Welfare-Maximizing Monetary Policy Under Parameter Uncertainty," CAMA Working Papers 2008-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  3. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  4. Svensson, Lars E O & Williams, Noah, 2007. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," CEPR Discussion Papers 6331, C.E.P.R. Discussion Papers.
  5. Tillmann, Peter, 2011. "Parameter Uncertainty And Nonlinear Monetary Policy Rules," Macroeconomic Dynamics, Cambridge University Press, vol. 15(02), pages 184-200, April.
  6. Glenn D. Rudebusch & Lars E. O. Svensson, 1998. "Policy Rules for Inflation Targeting," NBER Working Papers 6512, National Bureau of Economic Research, Inc.
  7. P. Mercado & David Kendrick, 2006. "Parameter Uncertainty and Policy Intensity: Some Extensions and Suggestions for Further Work," Computational Economics, Society for Computational Economics, vol. 27(4), pages 483-496, June.
  8. Onatski, Alexei & Stock, James H., 2002. "Robust Monetary Policy Under Model Uncertainty In A Small Model Of The U.S. Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 85-110, February.
  9. Canzoneri, Matthew B, 1985. "Monetary Policy Games and the Role of Private Information," American Economic Review, American Economic Association, vol. 75(5), pages 1056-70, December.
  10. Richard Dennis & Ulf Soderstrom, 2002. "How important is precommitment for monetary policy?," Working Paper Series 2002-10, Federal Reserve Bank of San Francisco.
  11. Andrew P Blake & Fabrizio Zampolli, 2006. "Optimal monetary policy in Markov-switching models with rational expectations agents," Bank of England working papers 298, Bank of England.
  12. Sophie Pardo & Nicolas Rautureau & Thomas Vallée, 2010. "Optimal versus realized policy rules in a regime-switching framework," Working Papers hal-00462957, HAL.
  13. Craine, Roger, 1979. "Optimal monetary policy with uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 1(1), pages 59-83, February.
  14. 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.
  15. John C. Williams & Andrew T. Levin, 2003. "Parameter Uncertainty and the Central Bank's Objective Function," Computing in Economics and Finance 2003 215, Society for Computational Economics.
  16. P. Ruben Mercado & David Kendrick, 1999. "Caution in Macroeconomic Policy: Uncertainty and the Relative Intensity of Policy," Computing in Economics and Finance 1999 1343, Society for Computational Economics.
  17. Otmar Issing, 2002. "Monetary Policy In A World of Uncertainty," Economie Internationale, CEPII research center, issue 92, pages 165-179.
  18. repec:hal:wpaper:hal-00462957_v1 is not listed on IDEAS
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