Solution of macromodels with Hansen-Sargent robust policies: Summary and some extensions

Arbeitspapier

We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the time inconsistency of optimal monetary policy, the effects of expectations on the variances of inflation and output, and on whether central banks should make their forecasts public.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 499

Classification and Topics

• Classification: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy ; Metals and Metal Products; Cement; Glass; Ceramics
• Subject: robustness ; model uncertainty ; discretion ; simple rules ; Prognoseverfahren ; Kontrolltheorie ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Giordani, Paolo ; Söderlind, Paul
• Event: Veröffentlichung
• (who): Stockholm School of Economics, The Economic Research Institute (EFI)
• (where): Stockholm
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/56191
• Last update: 10.03.2025, 11:45 AM CET