ROBUST MONETARY POLICY IN A NEW KEYNESIAN MODEL WITH IMPERFECT INTEREST RATE PASS-THROUGH
ROBUST MONETARY POLICY IN A NEW KEYNESIAN MODEL WITH IMPERFECT INTEREST RATE PASS-THROUGH
复制标题
利率传导不完善的新凯恩斯模型中的稳健货币政策
DOI：
10.1017/s136510051400100x
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发表时间：
2015
影响因子：
0.9
通讯作者：
Felix Hammermann
中科院分区：
文献类型：
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作者：
Rafael Gerke;Felix Hammermann
我们使用稳健控制来研究，在一个利率传递不完美的经济体中，如果央行担心其模型可能被错误指定，它将如何实施货币政策。我们发现，首先，在承诺下，稳健的最优货币政策的反应是更谨慎还是更激进，关键取决于冲击的来源。不完美的传导放大了稳健的政策。其次，如果央行担心不确定性，它会先发制人地抑制通胀率的波动，但接受产出缺口和贷款利率的更大波动。然而，对于高粘性的贷款利率，针对模型错误规范的保险变得特别昂贵。第三，如果央行只担心IS方程或贷款利率方程中的不确定性，那么稳健的政策将其对稳定的担忧从通胀转移开。
We use robust control to study how a central bank in an economy with imperfect interest rate pass-through conducts monetary policy if it fears that its model could be misspecified. We find that, first, whether robust optimal monetary policy under commitment responds more cautiously or more aggressively depends crucially on the source of shock. Imperfect pass-through amplifies the robust policy. Second, if the central bank is concerned about uncertainty, it dampens volatility in the inflation rate preemptively but accepts higher volatility in the output gap and loan rate. However, for highly sticky loan rates, insurance against model misspecification becomes particularly pricy. Third, if the central bank fears uncertainty only in the IS equation or the loan rate equation, the robust policy shifts its concern for stabilization away from inflation.
DOI：
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发表时间：
2005
期刊：
CUIE Discussion Paper 0501
影响因子：
--
作者：
Iwata;Shinichiro;Hisaki Yamaga;小林照義;小林照義
通讯作者：
小林照義