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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. Xin Li & Borghan N. Narajabad & Ted Temzelides, 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(7), pages 1850-1872, October.
    5. Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84, pages 1405-1440, July.
    6. Konstantinos Angelopoulos & Jim Malley, 2010. "Fear of Model Misspecification and the Robustness Premium," CESifo Working Paper Series 3186, CESifo.
    7. Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017. "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 58(1), pages 53-67, June.
    8. James Costain & Anton Nakov, 2019. "Logit Price Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(1), pages 43-78, February.
    9. 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.
    10. 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.
    11. Cogley, Timothy & De Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011. "A Bayesian approach to optimal monetary policy with parameter and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2186-2212.
    12. Schumacher Johannes M., 2018. "Distortion risk measures, ROC curves, and distortion divergence," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 35-50, January.
    13. 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.
    14. van Wijnbergen, Sweder & Willems, Tim, 2015. "Optimal learning on climate change: Why climate skeptics should reduce emissions," Journal of Environmental Economics and Management, Elsevier, vol. 70(C), pages 17-33.
    15. 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.
    16. Sorge, Marco M., 2013. "Robust delegation with uncertain monetary policy preferences," Economic Modelling, Elsevier, vol. 30(C), pages 73-78.
    17. Bunten, Devin & Kahn, Matthew E., 2017. "Optimal real estate capital durability and localized climate change disaster risk," Journal of Housing Economics, Elsevier, vol. 36(C), pages 1-7.
    18. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    19. Paolo Vitale, 2017. "Ambiguity-aversion in a Single Auction Market," Economics Bulletin, AccessEcon, vol. 37(3), pages 1745-1752.
    20. Kasa, Kenneth & Lei, Xiaowen, 2018. "Risk, uncertainty, and the dynamics of inequality," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 60-78.
    21. Iverson, Terrence, 2012. "Communicating Trade-offs amid Controversial Science: Decision Support for Climate Policy," Ecological Economics, Elsevier, vol. 77(C), pages 74-90.
    22. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    23. Djeutem, Edouard, 2014. "Model uncertainty and the Forward Premium Puzzle," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 16-40.
    24. Rhys M. Bidder & Raffaella Giacomini & Andrew McKenna, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.
    25. 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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