A Game Theoretic Approach to Monetary Policy

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In this research, we study informational issues in monetary policy from game theoretic viewpoints, especially focusing on informational asymmetry and Knightian uncertainty.Concerning informational asymmetry, one of our contributions is to generalize the Lucas island model. Lucas showed that only unanticipated monetary shocks have the real effects. We consider more general information structures and show that the real effects can be decomposed into the unanticipated part and the anticipated part. By this result, we can use the generalized Lucas island model to study the effects of policy announcement, which generates anticipated monetary shocks, on the real economy. We also study revealed information in rational expectations equilibria under informational asymmetry and discuss some implication for monetary policy.Concerning Knightian uncertainty, we derive several new results on the Choquet expected utility theory, aiming at future applications to monetary policy.