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Robust frequency-based monetary policy rules

  • Optimal monetary policy studies typically rely on a single structural model and identification of model-specific rules that minimize the unconditional volatilities of inflation and real activity. In their proposed approach, the authors take a large set of structural models and look for the model-robust rules that minimize the volatilities at those frequencies that policymakers are most interested in stabilizing. Compared to the status quo approach, their results suggest that policymakers should be more restrained in their inflation responses when their aim is to stabilize inflation and output growth at specific frequencies. Additional caution is called for due to model uncertainty.

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Author:Alexander DückORCiDGND, Fabio VeronaORCiD
URN:urn:nbn:de:hebis:30:3-691951
URL:https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/details/mm_publication/detail/publication/robust-frequency-based-monetary-policy-rules.html
Parent Title (German):Working paper series / Institute for Monetary and Financial Stability ; 180
Series (Serial Number):Working paper series / Institute for Monetary and Financial Stability (180)
Publisher:Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Date of Publication (online):2023/02/01
Date of first Publication:2023/02/01
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2023/02/17
Tag:frequency domain; model comparison; model uncertainty; monetary policy rules; policy evaluation
Page Number:42
HeBIS-PPN:505716941
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C4 Econometric and Statistical Methods: Special Topics / C49 Other
E Macroeconomics and Monetary Economics / E3 Prices, Business Fluctuations, and Cycles / E32 Business Fluctuations; Cycles
E Macroeconomics and Monetary Economics / E3 Prices, Business Fluctuations, and Cycles / E37 Forecasting and Simulation
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E58 Central Banks and Their Policies
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht

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