Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics

DOI10.1016/j.jedc.2005.10.013zbMath1162.91508OpenAlexW3125328255MaRDI QIDQ959633

Fabrizio Zampolli

Publication date: 12 December 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.2005.10.013

zbMATH Keywords

regime switchingoptimal monetary policyuncertain probabilities

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items

Robust stability, ℋ₂ analysis and stabilisation of discrete-time Markov jump linear systems with uncertain probability matrix, Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems, Optimal policy in Markov-switching rational expectations models, Stochastic model predictive control for constrained discrete-time Markovian switching systems, Quadratic costs and second moments of jump linear systems with general Markov chain, Optimal regime switching and threshold effects, ADAPTIVE LEARNING IN REGIME-SWITCHING MODELS, A disutility-based drift control for exchange rates, Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space

Uses Software

• CompEcon

Cites Work

• Heterogeneity of agents, transactions costs and the exchange rate
• The design of feedback rules in linear stochastic rational expectations models
• Maxmin expected utility with non-unique prior
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• Computational techniques for econometrics and economic analysis
• Receding horizon control of jump linear systems and a macroeconomic policy problem
• Optimization of stochastic systems. Topics in discrete-time systems
• Slow boom, sudden crash
• Statistical decision functions which minimize the maximum risk
• Continuous-Time Regulation of a Class of Econometric Models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Bubbles and Crashes
• Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item