Optimal Discretionary Policy in Rational Expectations Models with Regime Switching
Optimal Discretionary Policy in Rational Expectations Models with Regime Switching
复制标题
带有政权切换的理性预期模型中的最优自由裁量政策
DOI：
10.2139/ssrn.932570
复制
发表时间：
2006
期刊：
影响因子：
--
通讯作者：
R. Moessner
中科院分区：
文献类型：
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作者：
R. Moessner
经济结构变化的存在和不确定性是政策制定者面临的重要特征。本文考虑了结构变化的不确定性对政策设计的影响，将前瞻性模型参数的时间变化建模为马尔可夫过程。将Backus和Driffill算法推广到具有马尔可夫模型参数切换的情况。作为一个例子，我们应用我们的方法来确定在内在产出持久性存在结构性变化的情况下的最佳货币政策解决方案，在一个混合新凯恩斯模型中估计欧元区。我们发现最优策略规则的系数是状态相关的，并且非线性地依赖于具有不同内在输出持久性值的状态之间的转移概率。
The existence of and uncertainty about structural change in the economy are important features facing policymakers. This paper considers the implications for policy design of uncertainty about structural change, modelling the time variation in parameters of forward-looking models as Markov processes. We extend an algorithm of Backus and Driffill for optimal discretionary policy in rational expectations models to the case with Markov switching in model parameters. As an illustration, we apply our method to determine the optimal monetary policy solution in the presence of structural changes in intrinsic output persistence, within a hybrid New Keynesian model estimated for the euro area. We find that the coefficients of the optimal policy rule are state-dependent, and depend non-linearly on the transition probabilities between states with different values of intrinsic output persistence.
DOI：
10.2139/ssrn.932567
发表时间：
2006-06
期刊：
Monetary Economics
影响因子：
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作者：
A. Blake;Fabrizio Zampolli
通讯作者：
A. Blake;Fabrizio Zampolli