A Worst--Case Approach to Inflation Zone Targeting
In this paper we present an algorithm for continuous minimax problem where a quasi--Newton direction conditional on appropriate maximizers is used. The direction involves a quadratic subproblem to compute the minimum norm subgradient. An application of the algorithm to a monetary policy design is given. A simple model, due to Orphanides and Wieland, is used for practice of inflation zone targeting. In this paper, however, the approach is different as we minimize the worst--case with respect to inflation and economic activity. Also a comparison with the $H^infinity approach is included.
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|Date of creation:||01 Apr 2001|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html|
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