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Monetary Policy, Asset Prices, and Misspecification: the robust approach to bubbles with model uncertainty

Author

Listed:
  • Robert J. Tetlow
  • Peter von zur Muehlen

Abstract

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Suggested Citation

  • Robert J. Tetlow & Peter von zur Muehlen, 2002. "Monetary Policy, Asset Prices, and Misspecification: the robust approach to bubbles with model uncertainty," Computing in Economics and Finance 2002 335, Society for Computational Economics.
  • Handle: RePEc:sce:scecf2:335
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    References listed on IDEAS

    as
    1. Myers, Stewart C, 1974. "Interactions of Corporate Financing and Investment Decisions-Implications for Capital Budgeting," Journal of Finance, American Finance Association, vol. 29(1), pages 1-25, March.
    2. Fluck, Zsuzsanna, 1999. "The Dynamics of the Management-Shareholder Conflict," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 379-404.
    3. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
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    Citations

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    Cited by:

    1. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
    2. Meixing DAI & Eleftherios SPYROMITROS, 2008. "Monetary policy, asset prices and model uncertainty," Working Papers of BETA 2008-15, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    3. Zampolli, Fabrizio, 2006. "Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1527-1567.
    4. Simon Gilchrist & Masashi Saito, 2008. "Expectations, Asset Prices, and Monetary Policy: The Role of Learning," NBER Chapters,in: Asset Prices and Monetary Policy, pages 45-102 National Bureau of Economic Research, Inc.
    5. Rodrigo Caputo & Juan Pablo Medina & Claudio Soto, 2011. "The Financial Accelerator under Learning and the Role of Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series,in: Luis Felipe Céspedes & Roberto Chang & Diego Saravia (ed.), Monetary Policy under Financial Turbulence, edition 1, volume 16, chapter 7, pages 185-218 Central Bank of Chile.
    6. Sylvain Leduc & Jean-Marc Natal, 2011. "Should central banks lean against changes in asset prices?," Working Paper Series 2011-15, Federal Reserve Bank of San Francisco.
    7. Tetlow, Robert J. & Ironside, Brian, 2006. "Real-time model uncertainty in the United States: the Fed from 1996-2003," Working Paper Series 610, European Central Bank.

    More about this item

    Keywords

    monetary policy; bubbles; model uncertainty; robust control;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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