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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

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

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

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

Inflation Targeting as a Monetary Policy Rule

Svensson, Lars E. O. - 2021

The purpose of the paper is to survey and discuss inflation targeting in the context of monetary policy rules. The paper provides a general conceptual discussion of monetary policy rules, attempts to clarify the essential characteristics of inflation targeting, compares inflation targeting to...

Persistent link: https://www.econbiz.de/10013218714

Escaping from a Liquidity Trap and Deflation : The Foolproof Way and Others

Svensson, Lars E. O. - 2021

Existing proposals to escape from a liquidity trap and deflation, including my Foolproof Way,' are discussed in the light of the optimal way to escape. The optimal way involves three elements: (1) an explicit central-bank commitment to a higher future price level; (2) a concrete action that...

Persistent link: https://www.econbiz.de/10013228748

The First Year of the Eurosystem : Inflation Targeting or Not?

Svensson, Lars E. O. - 2021

This paper is a brief evaluation of the Eurosystem's monetary-policy regime after its first year, in particular of the extent to which it is similar to inflation targeting as practiced by an increasing number of central banks. I examine the Eurosystem's goals, framework for monetary-policy...

Persistent link: https://www.econbiz.de/10013234929

Eurosystem Monetary Targeting : Lessons from U.S. Data

Rudebusch, Glenn D. - 2010

Using a small empirical model of inflation, output, and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show that monetary targeting would be quite inefficient, with both higher inflation and output variability. This is...

Persistent link: https://www.econbiz.de/10013137167

Monetary Policy Issues for the Eurosystem

Svensson, Lars E. O. - 2021

The paper discusses the choice between inflation targeting and monetary targeting as a strategy for the Eurosystem, the actual strategy the Eurosystem announced in the fall of 1998, the framework for policy decisions appropriate for achieving the goals of the Eurosystem, the role of exchange...

Persistent link: https://www.econbiz.de/10013247637