Rational Expectations Models with Anticipated Shocks and Optimal Policy

Konferenzbeitrag

This paper investigates optimal policy in the presence of anticipated (or news) shocks. We determine the optimal unrestricted and restricted policy response in a general rational expectations model and show that, if shocks are news shocks, the optimal unrestricted control rule under commitment contains a forward-looking element. As an example, we lay out a micro-founded hybrid New Keynesian model and show i) that anticipated cost-push shocks entail higher welfare losses than unanticipated shocks of equal size and ii) that the inclusion of forward-looking elements enhances distinctly the performance of simple optimized interest rate rules.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jahrhunderts - Session: Information and the Macroeconomy ; No. C18-V3

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Business Fluctuations; Cycles ; Optimization Techniques; Programming Models; Dynamic Analysis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Winkler, Roland ; Wohltmann, Hans-Werner
• Event: Veröffentlichung
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/62030
• Last update: 10.03.2025, 11:44 AM CET