Arbeitspapier
Modeling model uncertainty
Recently there has been much interest in studying monetary policy under model uncertainty. We develop methods to analyze different sources of uncertainty in one coherent structure useful for policy decisions. We show how to estimate the size of the uncertainty based on time series data, and incorporate this uncertainty in policy optimization. We propose two different approaches to modeling model uncertainty. The first is model error modeling, which imposes additional structure on the errors of an estimated model, and builds a statistical description of the uncertainty around a model. The second is set membership identification, which uses a deterministic approach to find a set of models consistent with data and prior assumptions. The center of this set becomes a benchmark model, and the radius measures model uncertainty. Using both approaches, we compute the robust monetary policy under different model uncertainty specifications in a small model of the US economy.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 169
- Klassifikation
-
Wirtschaft
Monetary Policy
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Criteria for Decision-Making under Risk and Uncertainty
- Thema
-
estimation
Model uncertainty
monetary policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Onatski, Alexei
Williams, Noah
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Onatski, Alexei
- Williams, Noah
- European Central Bank (ECB)
Entstanden
- 2002
Ähnliche Objekte (12)
Modeling Uncertainty in Climate Change: A Multi-Model Comparison
Modeling Uncertainty in Climate Change: A Multi-Model Comparison
A topic modeling perspective on investor uncertainty
Generalized Entropy and Model Uncertainty
Model uncertainty and wealth distribution
Timing decisions under model uncertainty
Term structure modeling under volatility uncertainty: A forward rate model driven by G-Brownian Motion
Locally constant model uncertainty risk measure
Central bank transparency under model uncertainty
Model Specification and Inflation Forecast Uncertainty
Monetary policy committees and model uncertainty
Efficient allocations under ambiguous model uncertainty
Modeling Uncertainty in Climate Change: A Multi-Model Comparison
Modeling Uncertainty in Climate Change: A Multi-Model Comparison
A topic modeling perspective on investor uncertainty
Generalized Entropy and Model Uncertainty
Model uncertainty and wealth distribution
Timing decisions under model uncertainty
Term structure modeling under volatility uncertainty: A forward rate model driven by G-Brownian Motion
Locally constant model uncertainty risk measure
Central bank transparency under model uncertainty
Model Specification and Inflation Forecast Uncertainty
Monetary policy committees and model uncertainty
Efficient allocations under ambiguous model uncertainty
Modeling Uncertainty in Climate Change: A Multi-Model Comparison
Modeling Uncertainty in Climate Change: A Multi-Model Comparison
A topic modeling perspective on investor uncertainty
Generalized Entropy and Model Uncertainty
Model uncertainty and wealth distribution
Timing decisions under model uncertainty
Term structure modeling under volatility uncertainty: A forward rate model driven by G-Brownian Motion
Locally constant model uncertainty risk measure
Central bank transparency under model uncertainty
Model Specification and Inflation Forecast Uncertainty
Monetary policy committees and model uncertainty