Monetary policy with judgment

Arbeitspapier

Two approaches are considered to incorporate judgment in DSGE models. First, Bayesian estimation indirectly imposes judgment via priors on model parameters, which are then mapped into a judgmental interest rate decision. Standard priors are shown to be associated with highly unrealistic judgmental decisions. Second, judgmental interest rate decisions are directly provided by the decision maker, and incorporated into a formal statistical decision rule using frequentist procedures. When the observed interest rates are interpreted as judgmental decisions, they are found to be consistent with DSGE models for long stretches of time, but excessively tight in the 1980s and late 1990s and excessively loose in the late 1970s and early 2000s.

Angaben zum Objekt

• ISBN: 978-92-899-4047-4
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2404

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Central Banks and Their Policies ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Hypothesis Testing: General ; Estimation: General
• Thema: Monetary Policy ; DSGE ; Maximum Likelihood ; Statistical DecisionTheory

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gelain, Paolo ; Manganelli, Simone
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2020

Weitere Informationen

• DOI: doi:10.2866/685039
• Handle: http://hdl.handle.net/10419/229018
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ