The performance of forecast-based monetary policy rules under model uncertainty
- We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty: such rules respond to the one-year-ahead inflation forecast and to the current output gap and incorporate a substantial degree of policy inertia. In contrast, rules with longer forecast horizons are less robust and are prone to generating indeterminacy. Finally, we identify a robust benchmark rule that performs very well in all five models over a wide range of policy preferences.
| Verfasserangaben: | Andrew Levin, Volker WielandORCiDGND, John C. Williams |
|---|---|
| URN: | urn:nbn:de:hebis:30-10130 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,06 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2003, 06) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2003 |
| Jahr der Erstveröffentlichung: | 2003 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 13.06.2005 |
| Freies Schlagwort / Tag: | inflation forecast targeting; optimal monetary policy |
| GND-Schlagwort: | Geldpolitik |
| HeBIS-PPN: | 203802853 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
