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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

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

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Giordani, Paolo ; Söderlind, Paul
• Ereignis: Veröffentlichung
• (wer): Stockholm School of Economics, The Economic Research Institute (EFI)
• (wo): Stockholm
• (wann): 2002

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56191
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ