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Book/Printed Material Monetary policy with model uncertainty distribution forecast targeting

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Title

  • Monetary policy with model uncertainty distribution forecast targeting

Summary

  • "We examine optimal and other monetary policies in a linear-quadratic setup with a relatively general form of model uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables. The form of model uncertainty our framework encompasses includes: simple i.i.d. model deviations; serially correlated model deviations; estimable regime-switching models; more complex structural uncertainty about very different models, for instance, backward- and forward-looking models; time-varying central-bank judgment about the state of model uncertainty; and so forth. We provide an algorithm for finding the optimal policy as well as solutions for arbitrary policy functions. This allows us to compute and plot consistent distribution forecasts---fan charts---of target variables and instruments. Our methods hence extend certainty equivalence and "mean forecast targeting" to more general certainty non-equivalence and "distribution forecast targeting.""--National Bureau of Economic Research web site.

Names

  • Svensson, Lars E. O.
  • Williams, Noah (Noah M.)
  • National Bureau of Economic Research

Created / Published

  • Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

  • -  Economic forecasting--Mathematical models
  • -  Monetary policy--Mathematical models
  • -  Uncertainty--Mathematical models

Notes

  • -  Title from PDF file as viewed on 12/1/2005.
  • -  Includes bibliographical references.
  • -  Also available in print.
  • -  Mode of access: World Wide Web.
  • -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

  • HB1

Digital Id

Library of Congress Control Number

  • 2005399830

Access Advisory

  • Unrestricted online access

Online Format

  • image
  • pdf

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Citations are generated automatically from bibliographic data as a convenience, and may not be complete or accurate.

Chicago citation style:

Svensson, Lars E. O, Noah Williams, and National Bureau Of Economic Research. Monetary Policy With Model Uncertainty Distribution Forecast Targeting. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. https://aj.sunback.homes/item/2005399830/.

APA citation style:

Svensson, L. E. O., Williams, N. & National Bureau Of Economic Research. (2005) Monetary Policy With Model Uncertainty Distribution Forecast Targeting. Cambridge, MA: National Bureau of Economic Research. [Pdf] Retrieved from the Library of Congress, https://aj.sunback.homes/item/2005399830/.

MLA citation style:

Svensson, Lars E. O, Noah Williams, and National Bureau Of Economic Research. Monetary Policy With Model Uncertainty Distribution Forecast Targeting. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. Retrieved from the Library of Congress, <aj.sunback.homes/item/2005399830/>.