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
Last update
10.03.2025, 11:45 AM CET

Data provider

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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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