Solution of macromodels with Hansen-Sargent robust policies: some extensions

DOI10.1016/j.jedc.2003.11.001zbMath1202.91222OpenAlexW3121655607MaRDI QIDQ953723

Paul Söderlind, Paolo E. Giordani

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2003.11.001

zbMATH Keywords

robustnessmodel uncertaintydiscretionsimple rules

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (15)

Robust control with commitment: a modification to Hansen-Sargent ⋮ Robust monetary policy in a small open economy ⋮ Three types of robust Ramsey problems in a linear-quadratic framework ⋮ The age-specific burdens of short-run fluctuations in government spending ⋮ The Asian financial crisis and international reserve accumulation: a robust control approach ⋮ Optimal foreign exchange intervention in an inflation targeting regime: some cautionary tales ⋮ ROBUST MONETARY POLICY UNDER UNCERTAINTY ABOUT CENTRAL BANK PREFERENCES ⋮ Imperfect credibility and robust monetary policy ⋮ Model uncertainty and intertemporal tax smoothing ⋮ ROBUST POLICIES IN A STICKY INFORMATION ECONOMY ⋮ Robust monetary rules under unstructured model uncertainty ⋮ Robust \(H_\infty\) control for a generic linear rational expectations model of economy ⋮ Methods for robust control ⋮ ROBUST MONETARY POLICY IN THE NEW KEYNESIAN FRAMEWORK ⋮ A NOTE ON MONETARY POLICY, ASSET PRICES, AND MODEL UNCERTAINTY

Uses Software

• Matlab
• Octave
• Gensys

Cites Work

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• Maxmin expected utility with non-unique prior
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• Solving linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
• Intertemporal Asset Pricing under Knightian Uncertainty
• A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
• Robust Permanent Income and Pricing
• A robust Hansen-Sargent prediction formula

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