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Dennis, Richard - 2008

Model uncertainty has the potential to change importantly how monetary policy should be conducted, making it an issue that central banks cannot ignore. In this paper, I use a standard new Keynesian business cycle model to analyze the behavior of a central bank that conducts policy with...

Persistent link: https://www.econbiz.de/10012726361

Optimal learning under robustness and time-consistency

Epstein, Larry G.; Ji, Shaolin - In: Operations research 70 (2022) 3, pp. 1317-1329

Persistent link: https://www.econbiz.de/10013366075

Are decision errors explaining hyperbolic discounting and nonlinear probability weighting?

Holden, Stein Terje; Tione, Sarah; Tilahun, Mesfin; … - 2024

decision errors can explain or be highly correlated with hyperbolic discounting and non-linear (inverse-S-shaped) probability … weighting. We find evidence that decision errors are strongly correlated with hyperbolic discounting but do not find that … decision errors are correlated with the strong inverse-S-shaped probability weighting (w(p)) patterns in our two samples. We …

Persistent link: https://www.econbiz.de/10014581476

Optimal monetary policy under model uncertainty without commitment

Orlik, Anna; Presno, Ignacio - 2013 - This version: October 27, 2013

This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...

Persistent link: https://www.econbiz.de/10010240307

Time-consistent decisions and temporal decomposition of coherent risk functionals

Pflug, Georg; Pichler, Alois - In: Mathematics of operations research 41 (2016) 2, pp. 682-699

Persistent link: https://www.econbiz.de/10011520518

Dynamic consistent alpha-maxim expected utility

Beißner, Patrick; Lin, Qian - 2015

We establish a class of fully nonlinear conditional expectations. Similarly to the usage of linear expectations when a probabilistic description of uncertainty is present, we observe analogue quantitative and qualitative properties. The type of nonlinearity captures the agents sentiments of...

Persistent link: https://www.econbiz.de/10010477162