| INTERNATIONAL SEMINAR ON MACROECONOMICS (2007) | |||||||||||||||
Abstract | |||||||||||||||
| Recently there has been much interest in studying monetary policy under model uncertainty. We develop methods to analyze di#erent sources of uncertainty in one coherent structure useful for policy decisions. We show how to estimate the size of the uncertainty based on time series data, and incorporate this uncertainty in policy optimization. We propose two di#erent approaches to modeling model uncertainty. The first is model error modeling, which imposes additional structure on the errors of an estimated model, and builds a statistical description of the uncertainty around a model. | |||||||||||||||
Details der Publikation | |||||||||||||||
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