Arbeitspapier
Robust expectations and uncertain models: a robust contol approach with application to the new Keynesian economy
This paper extends Svensson and Woodford's (2003) partial information framework by allowing the private agents to achieve robustness against incomplete information about the structure of the economy by distorting their expectations in a particular direction.It shows how a linear rational expectations equilibrium under concern for robustness can be solved by exploiting the recursive structure of the problem and appropriately modifying the Bellman equations in their framework.The standard Kalman filter is then used for information updating under imperfect measurement of the state variables.The standard New Keynesian model is used for illustrating how concern for modelling errors interacts with imperfect information.Agents achieve robustness by simultaneously over-estimating the persistence of exogenous shocks, but under-estimating the policy response to the output gap.This under-estimation, combined with imperfect measurement, leads to larger and more persistent responses of private consumption to government expenditure shocks under robust expectations.
- ISBN
-
952-462-122-3
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 5/2004
- Klassifikation
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Optimization Techniques; Programming Models; Dynamic Analysis
Monetary Policy
- Thema
-
expectations
robust control
model uncertainty
monetary policy
imperfect information
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kilponen, Juha
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kilponen, Juha
- Bank of Finland
Entstanden
- 2004
Ähnliche Objekte (12)
Robust monetary policy in the New-Keynesian framework
On robust ESACF identification of mixed ARIMA models
A Positive theory of monetary policy and robust control
Robust Taylor rules in an open economy with heterogeneous expectations and least squares learnig
Are adverse selection models of debt robust to changes in market structure?
Robust learning stability with operational monetary policy rules
Robust monetary policy in a small open economy
Reconciling the new keynesian model with observed persistence
Demographic aging and the New Keynesian Phillips Curve
Consumption and uncertain access to the asset market
Toward robust early-warning models: A horse race, ensembles and model uncertainty
Learning, inflation expectations and optimal monetary policy
Robust monetary policy in the New-Keynesian framework
On robust ESACF identification of mixed ARIMA models
A Positive theory of monetary policy and robust control
Robust Taylor rules in an open economy with heterogeneous expectations and least squares learnig
Are adverse selection models of debt robust to changes in market structure?
Robust learning stability with operational monetary policy rules
Robust monetary policy in a small open economy
Reconciling the new keynesian model with observed persistence
Demographic aging and the New Keynesian Phillips Curve
Consumption and uncertain access to the asset market
Toward robust early-warning models: A horse race, ensembles and model uncertainty
Learning, inflation expectations and optimal monetary policy
Robust monetary policy in the New-Keynesian framework
On robust ESACF identification of mixed ARIMA models
A Positive theory of monetary policy and robust control
Robust Taylor rules in an open economy with heterogeneous expectations and least squares learnig
Are adverse selection models of debt robust to changes in market structure?
Robust learning stability with operational monetary policy rules
Robust monetary policy in a small open economy
Reconciling the new keynesian model with observed persistence
Demographic aging and the New Keynesian Phillips Curve
Consumption and uncertain access to the asset market
Toward robust early-warning models: A horse race, ensembles and model uncertainty