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

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dc.contributor.authorSvensson, Lars E. O.
dc.contributor.authorWilliams, Noah
dc.date.accessioned2019-11-01T00:04:31Z
dc.date.available2019-11-01T00:04:31Z
dc.date.issued2009
dc.descriptionOur previous work develops methods to study optimal policy in Markov jump-linear-quadratic (MJLQ) models with forward-looking variables: models with conditionally linear dynamics and conditionally quadratic preferences, where the matrices in both preferences and dynamics are random (Svensson and Williams, 2007a, 2007b). In particular, each model has multiple “modes”—a finite collection of different possible values for the matrices, whose evolution is governed by a finite-state Markov chain. In our previous work, we discuss how these modes could be structured to capture many different types of uncertainty relevant for policymakers. Here we put those suggestions into practice. We start by briefly discussing how an MJLQ model can be derived as a mode- dependent linear-quadratic approximation of an underlying nonlinear model, and we then apply our methods to a simple empirical mode-dependent New-Keynesian model of the U.S. economy, using a variant of a model by Lindé (2005).
dc.file.nameBCCh-sbc-v13-p077_114
dc.format.pdf
dc.format.extentSección o Parte de un Documento
dc.format.mediump. 77-114
dc.identifier.isbn978-956-7421-32-9
dc.identifier.urihttps://hdl.handle.net/20.500.12580/3747
dc.language.isoeng
dc.publisherBanco Central de Chile
dc.relation.ispartofSeries on Central Banking, Analysis, and Economic Policies, no. 13
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/*
dc.subjectPOLÍTICA MONETARIAes_ES
dc.subjectECONOMÍA KEYNESIANAes_ES
dc.titleOptimal monetary policy under uncertainty in DSGE models: a markov jump-linear-quadratic approach
dc.type.docArtículo

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