. Keywords: Model uncertainty, Robustness, Markov regime-switching, Monetary policy, Inflation targeting. …

-based approach outperforms classical DRO approaches in terms of both average and downside-risk performance using historical data …

about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk …

We employ information-gap decision theory to derive a robust monetary policy response to Knightian parameter … uncertainty. We show that such information-gap robustness is a proxy for probability of policy success. Hence, policies that are …

-case model, we show that an increase in the central bank’s preference for robustness requires a more aggressive reaction of the … smaller under robust control compared to a benchmark case without it. Finally, an increase in the preference for robustness … preference for robustness has no effect on the reaction of asset prices to the shocks affecting goods demand and financial …