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Infrequent Changes of the Policy Target : Robust Optimal Monetary Policy under Ambiguity
http://hdl.handle.net/2261/52390
http://hdl.handle.net/2261/5239095e4c31c-ae20-4238-a30b-d5d51075aa3c
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Infrequent Changes of the Policy Target : Robust Optimal Monetary Policy under Ambiguity | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | JEL Classification Numbers: E40, E52, D81 | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Uncertainty | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Monetary Policy | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | New Keynesian model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Taylor rule | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Fukuda, Shin-ichi
× Fukuda, Shin-ichi |
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著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In many countries, the monetary policy instrument sometimes remains unchanged for a long period and shows infrequent responses to exogenous shocks. The purpose of this paper is to provide a new explanation on why the central bank's policy instrument remains unchanged. In the analysis, we explore how uncertainty on the private agents'expectations affects robust optimal monetary policy. We apply the Choquet expected decision theory to a new Keynesian model. A main result is that the policymaker may frequently keep the interest rate unchanged even when exogenous shocks change output gaps and inflation rates. This happens because a change of the interest rate increases additional uncertainty for the policymaker. To the extent that the policymaker has uncertainty aversion, it can therefore be optimal for the policymaker to maintain an unchanged policy stance for some significant periods and to make discontinuous changes of the target rate. Our analysis departs from previous studies in that we determine an optimal monetary policy rule that allows time-variant feedback parameters in a Taylor rule. We show that if the policymaker has small uncertainty aversion, the calibrated optimal stop-go policy rule can predict actual target rates of FRB and ECB reasonably well. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-863, 発行日 2012-09 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf863ab.html |