ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY
ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY
复制标题
美国经济小模型中模型不确定性下的稳健货币政策
作者：
A. Onatski;J. Stock
本文研究了二方程宏观经济模型中的货币政策，当时政策制定者认识到该模型是一个近似值并且不确定该近似值的质量。有人认为，鲁棒控制的极小极大方法为传统的贝叶斯决策理论方法提供了一种通用且易于处理的替代方法。稳健的控制技术用于构建稳健的货币政策。在大多数（但不是全部）情况下，这些稳健的政策比没有模型不确定性的最优政策更加激进。具体的稳健政策在很大程度上取决于所使用的模型不确定性的表述，我们就哪种表述与货币政策应用最相关提出了一些建议。
This paper examines monetary policy in a two-equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation. It is argued that the minimax approach of robust control provides a general and tractable alternative to the conventional Bayesian decision theoretic approach. Robust control techniques are used to construct robust monetary policies. In most (but not all) cases, these robust policies are more aggressive than the optimal policies absent model uncertainty. The specific robust policies depend strongly on the formulation of model uncertainty used, and we make some suggestions about which formulation is most relevant for monetary policy applications.