Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach

Our previous work develops methods to study optimal policy in Markov jump-linear-quadratic (MJLQ) models with forward-looking variables: models with conditionally linear dynamics and conditionally quadratic preferences, where the matrices in both preferences and dynamics are random (Svensson and Wil...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Svensson, Lars E. O., Williams, Noah
Formato:	Artículo
Lenguaje:	eng
Publicado:	Banco Central de Chile 2019
Materias:	POLÍTICA MONETARIA ECONOMÍA KEYNESIANA
Acceso en línea:	https://hdl.handle.net/20.500.12580/3747
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai-20.500.12580-3747
record_format	dspace
spelling	oai-20.500.12580-37472021-04-24T11:02:30Z Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach Svensson, Lars E. O. Williams, Noah POLÍTICA MONETARIA ECONOMÍA KEYNESIANA Our previous work develops methods to study optimal policy in Markov jump-linear-quadratic (MJLQ) models with forward-looking variables: models with conditionally linear dynamics and conditionally quadratic preferences, where the matrices in both preferences and dynamics are random (Svensson and Williams, 2007a, 2007b). In particular, each model has multiple “modes”—a finite collection of different possible values for the matrices, whose evolution is governed by a finite-state Markov chain. In our previous work, we discuss how these modes could be structured to capture many different types of uncertainty relevant for policymakers. Here we put those suggestions into practice. We start by briefly discussing how an MJLQ model can be derived as a mode- dependent linear-quadratic approximation of an underlying nonlinear model, and we then apply our methods to a simple empirical mode-dependent New-Keynesian model of the U.S. economy, using a variant of a model by Lindé (2005). 2019-11-01T00:04:31Z 2019-11-01T00:04:31Z 2009 Artículo 978-956-7421-32-9 https://hdl.handle.net/20.500.12580/3747 eng Series on Central Banking, Analysis, and Economic Policies, no. 13 Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 77-114 application/pdf Banco Central de Chile
institution	Banco Central
collection	Banco Central
language	eng
topic	POLÍTICA MONETARIA ECONOMÍA KEYNESIANA
spellingShingle	POLÍTICA MONETARIA ECONOMÍA KEYNESIANA Svensson, Lars E. O. Williams, Noah Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach
description	Our previous work develops methods to study optimal policy in Markov jump-linear-quadratic (MJLQ) models with forward-looking variables: models with conditionally linear dynamics and conditionally quadratic preferences, where the matrices in both preferences and dynamics are random (Svensson and Williams, 2007a, 2007b). In particular, each model has multiple “modes”—a finite collection of different possible values for the matrices, whose evolution is governed by a finite-state Markov chain. In our previous work, we discuss how these modes could be structured to capture many different types of uncertainty relevant for policymakers. Here we put those suggestions into practice. We start by briefly discussing how an MJLQ model can be derived as a mode- dependent linear-quadratic approximation of an underlying nonlinear model, and we then apply our methods to a simple empirical mode-dependent New-Keynesian model of the U.S. economy, using a variant of a model by Lindé (2005).
format	Artículo
author	Svensson, Lars E. O. Williams, Noah
author_facet	Svensson, Lars E. O. Williams, Noah
author_sort	Svensson, Lars E. O.
title	Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach
title_short	Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach
title_full	Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach
title_fullStr	Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach
title_full_unstemmed	Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach
title_sort	optimal monetary policy under uncertainty in dsge models: a markov jump-linear-quadratic approach
publisher	Banco Central de Chile
publishDate	2019
url	https://hdl.handle.net/20.500.12580/3747
work_keys_str_mv	AT svenssonlarseo optimalmonetarypolicyunderuncertaintyindsgemodelsamarkovjumplinearquadraticapproach AT williamsnoah optimalmonetarypolicyunderuncertaintyindsgemodelsamarkovjumplinearquadraticapproach
_version_	1718346284601966592

Optimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach

Ejemplares similares