Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152913
Authors: 
Adalid, Ramón
Coenen, Günter
McAdam, Peter
Siviero, Stefano
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 479
Abstract: 
In this paper, we examine the performance and robustness of optimised interest-rate rules in four models of the euro area which differ considerably in terms of size, degree of aggregation, relevance of forward-looking behavioural elements and adherence to micro-foundations. Our findings are broadly consistent with results documented for models of the U.S. economy: backward-looking models require relatively more aggressive policies with at most moderate inertia; rules that are optimised for such models tend to perform reasonably well in forward-looking models, while the reverse is not necessarily true; and, hence, the operating characteristics of robust rules (i.e., rules that perform satisfactorily in all models) are heavily weighted towards those required by backward-looking models.
Subjects: 
euro area
macroeconomic modelling
Model uncertainty
monetary policy rules
Robustness
JEL: 
E31
E52
E58
E61
Document Type: 
Working Paper

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