Arbeitspapier
Optimal policy under model uncertainty: a structural-bayesian estimation approach
In this paper we propose a novel methodology to analyze optimal policies under model uncertainty in micro-founded macroeconomic models. As an application we assess the relevant sources of uncertainty for the optimal conduct of monetary policy within (parameter uncertainty) and across models (specification uncertainty) using EU 13 data. Parameter uncertainty matters only if the zero bound on interest rates is explicitly taken into account. In any case, optimal monetary policy is highly sensitive with respect to specification uncertainty implying substantial welfare gains of a robust-optimal rule that incorporates this risk.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2007,040
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Model Construction and Estimation
Monetary Policy
- Subject
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Optimal monetary policy
model uncertainty
Bayesian model estimation
Geldpolitik
Wohlfahrtseffekt
Ökonometrisches Makromodell
Modell-Spezifikation
Risiko
Ungleichgewichtstheorie
Theorie
EU-Staaten
- Event
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Geistige Schöpfung
- (who)
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Kriwoluzky, Alexander
Stoltenberg, Christian
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kriwoluzky, Alexander
- Stoltenberg, Christian
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2007
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