Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56191
Authors: 
Giordani, Paolo
Söderlind, Paul
Year of Publication: 
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

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