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Signal Extraction And Non-Certainty-Equivalence In Optimal Monetary Policy Rules

Citations

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Cited by:

  1. Ehrmann, Michael & Smets, Frank, 2003. "Uncertain potential output: implications for monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1611-1638, July.
  2. Greene, William H. & Gillman, Max & Harris, Mark N. & Spencer, Christopher, 2013. "The Tempered Ordered Probit (TOP) Model with an Application to Monetary Policy," CEI Working Paper Series 2013-04, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  3. Leitemo, Kai & Soderstrom, Ulf, 2005. "Simple monetary policy rules and exchange rate uncertainty," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 481-507, April.
  4. Athanasios Orphanides & John C. Williams, 2002. "Robust Monetary Policy Rules with Unknown Natural Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 63-146.
  5. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting in a DSGE Model with Data that is Uncertain, Unbalanced and About the Future," Borradores de Economia 559, Banco de la Republica de Colombia.
  6. Aoki, Kosuke, 2006. "Optimal commitment policy under noisy information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 81-109, January.
  7. Glenn D. Rudebusch, 2001. "Is The Fed Too Timid? Monetary Policy In An Uncertain World," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 203-217, May.
  8. Lavan Mahadeva & Alex Muscatelli, 2005. "National Accounts Revisions and Output Gap Estimates in a Model of Monetary Policy with Data Uncertainty," Discussion Papers 14, Monetary Policy Committee Unit, Bank of England.
  9. Bauer, Christian & Neuenkirch, Matthias, 2017. "Forecast uncertainty and the Taylor rule," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 99-116.
  10. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, September.
  11. Gabriel Srour, 2003. "Some Notes on Monetary Policy Rules with Uncertainty," Staff Working Papers 03-16, Bank of Canada.
  12. Ajax R. B. Moreira & Marco A. F. H. Cavalcanti, 2015. "Robustness and Stabilization Properties of Monetary Policy Rules in Brazil," Discussion Papers 0100, Instituto de Pesquisa Econômica Aplicada - IPEA.
  13. Andrew Levin & Volker Wieland & John C. Williams, 2003. "The Performance of Forecast-Based Monetary Policy Rules Under Model Uncertainty," American Economic Review, American Economic Association, vol. 93(3), pages 622-645, June.
  14. Swanson, Eric T., 2006. "Optimal nonlinear policy: signal extraction with a non-normal prior," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 185-203, February.
  15. Dotsey, Michael & Hornstein, Andreas, 2003. "Should a monetary policymaker look at money?," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 547-579, April.
  16. Cukierman, Alex & Lippi, Francesco, 2005. "Endogenous monetary policy with unobserved potential output," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1951-1983, November.
  17. Fabrizio Zampolli & Andrew P. Blake, 2005. "Time Consistent Policy in Markov Switching Models," Computing in Economics and Finance 2005 134, Society for Computational Economics.
  18. Christopher Martin & Costas Milas, 2009. "Uncertainty And Monetary Policy Rules In The United States," Economic Inquiry, Western Economic Association International, vol. 47(2), pages 206-215, April.
  19. Svensson, Lars E. O. & Woodford, Michael, 2003. "Indicator variables for optimal policy," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 691-720, April.
  20. Belderbos, Rene & Ikeuchi, Kenta & Fukao, Kyoji & Kim, Young Gak & Kwon, Hyeog Ug, 2013. "Plant Productivity Dynamics and Private and Public R&D Spillovers: Technological, Geographic and Relational Proximity," CEI Working Paper Series 2013-05, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  21. Robert Tchaidze & Alina Carare, 2004. "The Use and Abuse of Taylor Rules: How precisely can we estimate them?," Econometric Society 2004 Latin American Meetings 132, Econometric Society.
  22. Andrew Levin & Volker Wieland & John C. Williams, 2003. "The Performance of Forecast-Based Monetary Policy Rules Under Model Uncertainty," American Economic Review, American Economic Association, vol. 93(3), pages 622-645, June.
  23. Francois Gourio & Jonas Fisher, 2015. "Risk Management for Monetary Policy at the Zero Lower Bound," 2015 Meeting Papers 665, Society for Economic Dynamics.
  24. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  25. Christopher Martin & Costas Milas, 2004. "Uncertainty and UK Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2004 65, Money Macro and Finance Research Group.
  26. Aoki, Kosuke, 2003. "On the optimal monetary policy response to noisy indicators," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 501-523, April.
  27. John C. Williams, 2006. "Robust estimation and monetary policy with unobserved structural change," Economic Review, Federal Reserve Bank of San Francisco, pages 1-16.
  28. Mr. Helmut Wagner, 2001. "Implications of Globalization for Monetary Policy," IMF Working Papers 2001/184, International Monetary Fund.
  29. repec:hal:wpspec:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  30. Leitemo, Kai & Lonning, Ingunn, 2006. "Simple Monetary Policymaking without the Output Gap," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1619-1640, September.
  31. Jarkko Jääskelä & Tony Yates, 2005. "Monetary policy and data uncertainty," Bank of England working papers 281, Bank of England.
  32. repec:hal:spmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  33. repec:hal:spmain:info:hdl:2441/35kgubh40v9gfpnuruelqjnptb is not listed on IDEAS
  34. Rageh, Rania, 2010. "Interest rate rule for the conduct of monetary policy: analysis for Egypt (1997:2007)," MPRA Paper 26639, University Library of Munich, Germany.
  35. repec:spo:wpecon:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  36. Gerlach-Kristen, Petra, 2005. "Too little, too late: Interest rate setting and the costs of consensus," Economics Letters, Elsevier, vol. 88(3), pages 376-381, September.
  37. Christophe Planas & Alessandro Rossi, 2004. "Can inflation data improve the real-time reliability of output gap estimates?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 121-133.
  38. Andrew P Blake & Fabrizio Zampolli, 2006. "Optimal monetary policy in Markov-switching models with rational expectations agents," Bank of England working papers 298, Bank of England.
  39. George Kapetanios, 2004. "Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models," Working Papers 520, Queen Mary University of London, School of Economics and Finance.
  40. Laurence H. Meyer & Eric T. Swanson & Volker W. Wieland, 2001. "NAIRU Uncertainty and Nonlinear Policy Rules," American Economic Review, American Economic Association, vol. 91(2), pages 226-231, May.
  41. George Kapetanios & Tony Yates, 2004. "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England working papers 238, Bank of England.
  42. Lansing, Kevin J. & Trehan, Bharat, 2003. "Forward-looking behavior and optimal discretionary monetary policy," Economics Letters, Elsevier, vol. 81(2), pages 249-256, November.
  43. Michael Dotsey & Andreas Hornstein, 2002. "Should optimal discretionary monetary policy look at money?," Working Paper 02-04, Federal Reserve Bank of Richmond.
  44. Iris Claus, 2003. "Estimating potential output for New Zealand," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 751-760.
  45. George Kapetanios & Tony Yates, 2010. "Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 869-893.
  46. Mr. Helge Berger & Mr. Henning Weber, 2012. "Money As Indicator for the Natural Rate of Interest," IMF Working Papers 2012/006, International Monetary Fund.
  47. Ehrmann, Michael & Smets, Frank, 2003. "Uncertain potential output: implications for monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1611-1638, July.
  48. Ruthira Naraidoo & Leroi Raputsoane, 2015. "Financial markets and the response of monetary policy to uncertainty in South Africa," Empirical Economics, Springer, vol. 49(1), pages 255-278, August.
  49. Giese, Guido & Wagner, Helmut, 2009. "A New Keynesian Model with Endogenous Frictions," Discussion Paper Series a520, Institute of Economic Research, Hitotsubashi University.
  50. Paul Hubert, 2010. "Monetary policy, imperfect information and the expectations channel [Politique monétaire,information imparfaite et canal des anticipations]," SciencePo Working papers Main tel-04095385, HAL.
  51. Jean-Philippe Cayen & Simon van Norden, 2002. "La fiabilité des estimations de l'écart de production au Canada," Staff Working Papers 02-10, Bank of Canada.
  52. Michael Scharnagl & Christina Gerberding & Franz Seitz, 2010. "Should Monetary Policy Respond to Money Growth? New Results for the Euro Area," International Finance, Wiley Blackwell, vol. 13(3), pages 409-441, December.
  53. Mr. Robert Tchaidze & Ms. Alina Carare, 2005. "The Use and Abuse of Taylor Rules: How Precisely Can We Estimate Them?," IMF Working Papers 2005/148, International Monetary Fund.
  54. Boehm, Christoph E. & House, Christopher L., 2019. "Optimal Taylor rules when targets are uncertain," European Economic Review, Elsevier, vol. 119(C), pages 274-286.
  55. repec:spo:wpmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  56. Blake, Andrew P. & Zampolli, Fabrizio, 2011. "Optimal policy in Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1626-1651, October.
  57. James D. Hamilton, 2000. "Indicator variables for optimal policy, comments," Proceedings, Federal Reserve Bank of San Francisco.
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