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Robustness and US Monetary

Author

Listed:
  • Thomas J. Sargent

    (NYU)

  • Riccardo Colacito

    (University of North Carolina)

  • Lars P. Hansen

    (University of Chicago)

  • Timothy Cogley

    (University of California Davis)

Abstract

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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    Citations

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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. Li, Xin & Narajabad, Borghan N. & Temzelides, Theodosios, 2014. "Robust Dynamic Optimal Taxation and Environmental Externalities," Finance and Economics Discussion Series 2014-75, Board of Governors of the Federal Reserve System (U.S.).
    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 & Jim Malley, 2010. "Fear of Model Misspecification and the Robustness Premium," CESifo Working Paper Series 3186, CESifo Group Munich.
    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. Kasa, Kenneth & Lei, Xiaowen, 2018. "Risk, uncertainty, and the dynamics of inequality," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 60-78.
    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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