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Robustness and US Monetary


  • Thomas J. Sargent


  • Riccardo Colacito

    (University of North Carolina)

  • Lars P. Hansen

    (University of Chicago)

  • Timothy Cogley

    (University of California Davis)


models and the prior distribution are correctly specified. We explain how the policy maker's desires to protect against misspecifications of the submodels, on the one hand, and misspecifications of the prior over them, on the other, have different effects on the decision rule.

Suggested Citation

  • Thomas J. Sargent & Riccardo Colacito & Lars P. Hansen & Timothy Cogley, 2008. "Robustness and US Monetary," 2008 Meeting Papers 228, Society for Economic Dynamics.
  • Handle: RePEc:red:sed008:228

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    References listed on IDEAS

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    7. Robert Shimer, 2005. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies," American Economic Review, American Economic Association, vol. 95(1), pages 25-49, March.
    8. Dale Mortensen & Eva Nagypal, 2007. "More on Unemployment and Vacancy Fluctuations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(3), pages 327-347, July.
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    10. Gadi Barlevy, 2002. "The Sullying Effect of Recessions," Review of Economic Studies, Oxford University Press, vol. 69(1), pages 65-96.
    11. Burdett, Kenneth & Mortensen, Dale T, 1998. "Wage Differentials, Employer Size, and Unemployment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(2), pages 257-273, May.
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    Cited by:

    1. Dennis, Richard, 2014. "Imperfect credibility and robust monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 218-234.
    2. Kwon, Hyosung & Miao, Jianjun, 2017. "Three types of robust Ramsey problems in a linear-quadratic framework," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 211-231.
    3. Xin Li & Borghan Narajabad & Ted Temzelides, 2014. "Robust Dynamic Optimal Taxation and Environmental Externalities," CESifo Working Paper Series 4562, CESifo Group Munich.
    4. Dennis, Richard & Kirsanova, Tatiana, 2016. "Computing Markov-Perfect Optimal Policies In Business-Cycle Models," Macroeconomic Dynamics, Cambridge University Press, vol. 20(07), pages 1850-1872, October.
    5. Konstantinos Angelopoulos & James Malley, 2010. "Fear of model misspecification and the robustness premium," Working Papers 2010_24, Business School - Economics, University of Glasgow.
    6. repec:hit:hitjec:v:58:y:2017:i:1:p:53-67 is not listed on IDEAS
    7. James Costain & Anton Nakov, 2013. "Logit price dynamics," Working Papers 1301, Banco de España;Working Papers Homepage.
    8. Tillmann Peter, 2009. "Does Model Uncertainty Justify Conservatism? Robustness and the Delegation of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
    9. Qin, Li & Sidiropoulos, Moïse & Spyromitros, Eleftherios, 2013. "Robust monetary policy under model uncertainty and inflation persistence," Economic Modelling, Elsevier, vol. 30(C), pages 721-728.
    10. repec:bpj:strimo:v:35:y:2018:i:1-2:p:35-50:n:3 is not listed on IDEAS
    11. Richard Dennis, 2013. "Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy when Agents are Risk-Sensitive," CAMA Working Papers 2013-69, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    12. Hansen, Lars Peter & Sargent, Thomas J., 2011. "Robustness and ambiguity in continuous time," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1195-1223, May.
    13. Sorge, Marco M., 2013. "Robust delegation with uncertain monetary policy preferences," Economic Modelling, Elsevier, vol. 30(C), pages 73-78.
    14. repec:eee:jhouse:v:36:y:2017:i:c:p:1-7 is not listed on IDEAS
    15. Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84, pages 1405-1440, July.
    16. repec:ebl:ecbull:eb-17-00375 is not listed on IDEAS
    17. Kenneth Kasa & Xiaowen Lei, 2017. "Risk, Uncertainty, and the Dynamics of Inequality," Discussion Papers dp17-06, Department of Economics, Simon Fraser University.
    18. Iverson, Terrence, 2012. "Communicating Trade-offs amid Controversial Science: Decision Support for Climate Policy," Ecological Economics, Elsevier, vol. 77(C), pages 74-90.
    19. repec:eee:jfinec:v:126:y:2017:i:3:p:668-688 is not listed on IDEAS
    20. Djeutem, Edouard, 2014. "Model uncertainty and the Forward Premium Puzzle," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 16-40.
    21. Bidder, Rhys & Giacomini, Raffaella & McKenna, Andrew, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.
    22. Asano, Takao & Shibata, Akihisa, 2011. "Optimal pricing and quality choice of a monopolist under Knightian uncertainty," International Journal of Industrial Organization, Elsevier, vol. 29(6), pages 746-754.

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