کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099745 | 1478709 | 2006 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Robust inflation-forecast-based rules to shield against indeterminacy
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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چکیده انگلیسی
This paper provides a first attempt to quantify and at the same time utilize estimated measures of uncertainty for the design of robust interest rate rules. We estimate several variants of a linearized form of a New Keynesian model using quarterly US data. Both our theoretical and numerical results indicate that inflation-forecast-based (IFB) rules are increasingly prone to the problem of indeterminacy as the forward horizon increases. As a consequence the stabilization performance of optimized rules of this type worsens too. Robust IFB rules can be designed to avoid indeterminacy in an uncertain environment, but at an increasing utility loss as rules become more forward-looking.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 30, Issues 9â10, SeptemberâOctober 2006, Pages 1491-1526
Journal: Journal of Economic Dynamics and Control - Volume 30, Issues 9â10, SeptemberâOctober 2006, Pages 1491-1526
نویسندگان
Nicoletta Batini, Alejandro Justiniano, Paul Levine, Joseph Pearlman,