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| Title: | | Solution of macromodels with Hansen-Sargent robust policies: Summary and some extensions  |
| Authors: | | Giordani, Paolo Söderlind, Paul |
| Issue Date: | | 2002 |
| Series/Report no.: | | SSE/EFI Working Paper Series in Economics and Finance 499 |
| Abstract: | | We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the time inconsistency of optimal monetary policy, the effects of expectations on the variances of inflation and output, and on whether central banks should make their forecasts public. |
| Subjects: | | robustness model uncertainty discretion simple rules |
| JEL: | | E43 E52 L61 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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