Arbeitspapier

Rational expectations models with anticipated shocks and optimal policy: a general solution method and a new Keynesian example

The purpose of this paper is to show how to solve linear dynamic rational expectations models with anticipated shocks by using the generalized Schur decomposition method. Furthermore, we determine the optimal unrestricted and restricted policy responses to anticipated shocks. We demonstrate our solution method by means of a micro-founded hybrid New Keynesian model and show that anticipated cost-push shocks entail higher welfare losses than unanticipated shocks of equal size.

Language: Englisch

Bibliographic citation: Series: Economics Working Paper ; No. 2009-01

Classification: Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Computational Techniques; Simulation Modeling
Monetary Policy

Subject: Anticipated Shocks
Optimal Monetary Policy
Rational Expectations
Generalized Schur Decomposition
Welfare Effects
Schock
Rationale Erwartung
Ungleichgewichtstheorie
Mikroökonomische Fundierung
Dynamisches Modell
Dekompositionsverfahren
Geldpolitik
Wohlfahrtseffekt
Theorie

Event: Geistige Schöpfung

(who): Wohltmann, Hans-Werner
Winkler, Roland C.

Event: Veröffentlichung

(who): Kiel University, Department of Economics

(where): Kiel

(when): 2009

Handle: http://hdl.handle.net/10419/27736

Last update: 10.03.2025, 11:45 AM CET

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Object type

Arbeitspapier

Associated

Wohltmann, Hans-Werner
Winkler, Roland C.
Kiel University, Department of Economics

Time of origin

2009

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Rational expectations models with anticipated shocks and optimal policy: a general solution method and a new Keynesian example

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Other Objects (12)

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