Robust learning stability with operational monetary policy rules

The recent literature examines the conduct of monetary policy in terms of interest rate rules from the viewpoint of imperfect knowledge and learning by economic agents. The stability of the rational expectations equilibrium is taken as a key desideratum for good monetary policy design. Most of this...

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Autores principales:	Evans, George W., Honkapohja, Seppo, 1951-
Formato:	Artículo
Lenguaje:	eng
Publicado:	Banco Central de Chile 2019
Materias:	POLÍTICA MONETARIA TASAS DE INTERÉS
Acceso en línea:	https://hdl.handle.net/20.500.12580/3749
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spelling	oai-20.500.12580-37492021-04-24T11:02:41Z Robust learning stability with operational monetary policy rules Evans, George W. Honkapohja, Seppo, 1951- POLÍTICA MONETARIA TASAS DE INTERÉS The recent literature examines the conduct of monetary policy in terms of interest rate rules from the viewpoint of imperfect knowledge and learning by economic agents. The stability of the rational expectations equilibrium is taken as a key desideratum for good monetary policy design. Most of this literature postulates that agents use least squares or related learning algorithms to carry out real-time estimations of the parameters of their forecast functions as new data become available. Moreover, it is usually assumed that the learning algorithms have a decreasing gain, in the most common case, the gain is the inverse of the sample size so that all data points have equal weights. Use of such a decreasing-gain algorithm makes it possible for learning to converge exactly to the rational expectations equilibrium in environments without structural change. Convergence requires that the equilibrium satisfies a stability condition, known as E-stability. 2019-11-01T00:04:35Z 2019-11-01T00:04:35Z 2009 Artículo 978-956-7421-32-9 https://hdl.handle.net/20.500.12580/3749 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. 145-170 application/pdf Banco Central de Chile
institution	Banco Central
collection	Banco Central
language	eng
topic	POLÍTICA MONETARIA TASAS DE INTERÉS
spellingShingle	POLÍTICA MONETARIA TASAS DE INTERÉS Evans, George W. Honkapohja, Seppo, 1951- Robust learning stability with operational monetary policy rules
description	The recent literature examines the conduct of monetary policy in terms of interest rate rules from the viewpoint of imperfect knowledge and learning by economic agents. The stability of the rational expectations equilibrium is taken as a key desideratum for good monetary policy design. Most of this literature postulates that agents use least squares or related learning algorithms to carry out real-time estimations of the parameters of their forecast functions as new data become available. Moreover, it is usually assumed that the learning algorithms have a decreasing gain, in the most common case, the gain is the inverse of the sample size so that all data points have equal weights. Use of such a decreasing-gain algorithm makes it possible for learning to converge exactly to the rational expectations equilibrium in environments without structural change. Convergence requires that the equilibrium satisfies a stability condition, known as E-stability.
format	Artículo
author	Evans, George W. Honkapohja, Seppo, 1951-
author_facet	Evans, George W. Honkapohja, Seppo, 1951-
author_sort	Evans, George W.
title	Robust learning stability with operational monetary policy rules
title_short	Robust learning stability with operational monetary policy rules
title_full	Robust learning stability with operational monetary policy rules
title_fullStr	Robust learning stability with operational monetary policy rules
title_full_unstemmed	Robust learning stability with operational monetary policy rules
title_sort	robust learning stability with operational monetary policy rules
publisher	Banco Central de Chile
publishDate	2019
url	https://hdl.handle.net/20.500.12580/3749
work_keys_str_mv	AT evansgeorgew robustlearningstabilitywithoperationalmonetarypolicyrules AT honkapohjaseppo1951 robustlearningstabilitywithoperationalmonetarypolicyrules
_version_	1718346437158240256

Robust learning stability with operational monetary policy rules

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