Optimal policy in Markov-switching rational expectations models

DOI10.1016/j.jedc.2011.04.001zbMath1282.91222OpenAlexW1968804456MaRDI QIDQ647652

Andrew P. Blake, Fabrizio Zampolli

Publication date: 24 November 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.04.001

zbMATH Keywords

regime switchingrational expectationscommitmentoptimal monetary policytime consistency

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic programming (90C39)

Related Items (3)

Solving endogenous regime switching models ⋮ Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems ⋮ Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space

Uses Software

• Uhlig Toolkit

Cites Work

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• Optimal horizons for inflation targeting
• Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?

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