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Influence of Parameter Estimation Uncertainty on the European Central Banker Behavior: An Extension

Author

Listed:
  • Jean-Guillaume Sahuc

    (Banque de France, Centre de Recherche)

Abstract

This paper deals with the linear quadratic stochastic control approach to assessing the effects of parameter estimation uncertainty on the central banker behavior. The treatment of parameter estimation uncertainty is covered by the introduction of the full variance-covariance matrix of the parameters estimates in the optimal control theory. The proposed approach is simple to implement and is applicable to a large class of model. The principle of conservatism of Brainard is found empirically relevant for a Euro area policymaker.

Suggested Citation

  • Jean-Guillaume Sahuc, 2002. "Influence of Parameter Estimation Uncertainty on the European Central Banker Behavior: An Extension," Documents de recherche 02-18, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    • Handle: RePEc:eve:wpaper:02-18
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    File URL: https://www.univ-evry.fr/fileadmin/mediatheque/ueve-institutionnel/03_Recherche/laboratoires/Epee/wp/02-18.pdf
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    Citations

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    Cited by:

    1. Yannick L'horty & Christophe Rault, 2004. "Inflation, minimum wage and other wages: an econometric study on French macroeconomic data," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 277-290.
    2. Stefano Bosi & Guido Cazzavillan & Francesco Magris, 2005. "Plausibility of Indeterminacy and Complex Dynamics," Annals of Economics and Statistics, GENES, issue 78, pages 103-115.
    3. Stefano Bosi, 2000. "Government Spending in a Monetary Model of Endogenous Growth: a Note," Documents de recherche 00-11, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    4. Marc-Arthur Diaye & Daniel Schoch, 2003. "Preferences as Desire Fulfilment," Documents de recherche 03-17, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.

    More about this item

    Keywords

    European monetary policy; parameter estimation uncertainty; linear quadratic stochastic control;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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