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Optimal monetary policy under uncertainty : a Markov jump-linear-quadratic approach

Svensson, Lars E. O.; Williams, Noah - In: Review / Federal Reserve Bank of St. Louis 90 (2008) 4, pp. 275-305

Persistent link: https://www.econbiz.de/10003764387

Discretionary policy, potential output uncertainty, and optimal learning

Yetman, James (contributor) - 2005

Persistent link: https://www.econbiz.de/10003277724

Optimal monetary policy under uncertainty in DSGE models : a Markov jump-linear-quadratic approach

Svensson, Lars E. O.; Williams, Noah - In: Monetary policy under uncertainty and learning : …, (pp. 77-114). 2009

Persistent link: https://www.econbiz.de/10008860544

Optimal monetary policy under uncertainty in DSGE models : a Markov jump-linear-quadratic approach

Svensson, Lars E. O.; Williams, Noah - 2008

Persistent link: https://www.econbiz.de/10003831149

Uncertainty, learning, and gradual monetary policy

Sack, Brian - 1998

Persistent link: https://www.econbiz.de/10000993207

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

Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk Premium

Bianchi, Daniele - 2015

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …

Persistent link: https://www.econbiz.de/10013034741

Learning, expectations and monetary policy

García, Pablo - 2021

Persistent link: https://www.econbiz.de/10012483716

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

Svensson, Lars E.O. - 2008

Persistent link: https://www.econbiz.de/10012464755

Uncertainty, Learning, and Gradual Monetary Policy

Sack, Brian P. - 1998

This paper argues that interest-rate smoothing may be optimal when the effect of monetary policy is uncertain. A model is presented in which the Federal Reserve rationally learns about the policy multiplier by observing the reaction of the economy to recent choices of the interest rate. As a...

Persistent link: https://www.econbiz.de/10014215903

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