Optimal monetary policy under uncertainty in dsge models
Subtitle: a Markov jump-linear-quadratic approach
By: Lars E.O. Svensson, Noah Williams.
Contributors: Williams, Noah; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 13892; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13892.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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 mode-dependent linear-quadratic approximations of the underlying model.  This allows us to apply a powerful methodology with convenient solution algorithms that we have developed.  We apply our methods to a benchmark New Keynesian model, analyzing how policy is affected by uncertainty, and how learning and active experimentation affect policy and losses"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/25/2008.

Includes bibliographical references.

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