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Optimal Monetary Policy Under Uncertainty in DSGE Models : A Markov Jump-Linear-Quadratic Approach

Svensson, Lars E. O. - 2010

We study the design of optimal monetary policy under uncertainty in a dynamic stochastic general equilibrium models. We use a Markov jump-linear-quadratic (MJLQ) approach to study policy design, approximating the uncertainty by different discrete modes in a Markov chain, and by taking...

Persistent link: https://www.econbiz.de/10012759442

Monetary Policy with Model Uncertainty : Distribution Forecast Targeting

Svensson, Lars E. O.; Williams, Noah - 2021

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...

Persistent link: https://www.econbiz.de/10013218440

The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk

Svensson, Lars E. O. - 2021

The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived … devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from … real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are …

Persistent link: https://www.econbiz.de/10013222618

Inflation Targeting

Svensson, Lars E. O. - 2011

-market economies. The chapter discusses the history, macroeconomic effects, theory, practice, and future of inflation targeting …

Persistent link: https://www.econbiz.de/10013131986

Transparency and Credibility : Monetary Policy with Unobservable Goals

Faust, Jon - 2010

We define and study transparency, credibility, and reputation in a model where the central bank's characteristics are unobservable to the private sector and are inferred from the policy outcome. A low-credibility bank optimally conducts a more inflationary policy than a high-credibility bank, in...

Persistent link: https://www.econbiz.de/10013137302

Inflation Forecast Targeting : Implementing and Monitoring Inflation Targets

Svensson, Lars E. O. - 2011

Inflation targeting is shown to imply inflation forecast targeting: the central bank's inflation forecast becomes an explicit intermediate target. Inflation forecast targeting simplifies both implementation and monitoring of monetary policy. The weight on output stabilization determines how...

Persistent link: https://www.econbiz.de/10013125561

Cost-Benefit Analysis of Leaning Against the Wind

Svensson, Lars E. O. - 2016

A simple and transparent framework for cost-benefit analysis of \leaning against the wind" (LAW), that is, tighter monetary policy for financial-stability purposes, is presented. LAW has obvious costs in the form of a weaker economy if no crisis occurs and possible benefits in the form of a...

Persistent link: https://www.econbiz.de/10013000534

Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models

Bertola, Giuseppe - 2008

interesting interpretations of available empirical evidence. We also specify how to infer devaluation risk from target zone data …

Persistent link: https://www.econbiz.de/10012774856

Anticipated Alternative Instrument-Rate Paths in Policy Simulations

Laseen, Stefan - 2010

This paper specifies a new convenient algorithm to construct policy projections conditional on alternative anticipated policy-rate paths in linearized dynamic stochastic general equilibrium (DSGE) models, such as Ramses, the Riksbank's main DSGE model. Such projections with anticipated...

Persistent link: https://www.econbiz.de/10012757526

Bayesian and Adaptive Optimal Policy Under Model Uncertainty

Svensson, Lars E. O. - 2010

We study the problem of a policymaker who seeks to set policy optimally in an economy where the true economic structure is unobserved, and he optimally learns from observations of the economy. This is a classic problem of learning and control, variants of which have been studied in the past, but...

Persistent link: https://www.econbiz.de/10012759822