Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/211973 
Autor:innen: 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Bank of Finland Discussion Papers No. 5/2004
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
This paper extends Svensson and Woodford's (2003) partial information framework by allowing the private agents to achieve robustness against incomplete information about the structure of the economy by distorting their expectations in a particular direction.It shows how a linear rational expectations equilibrium under concern for robustness can be solved by exploiting the recursive structure of the problem and appropriately modifying the Bellman equations in their framework.The standard Kalman filter is then used for information updating under imperfect measurement of the state variables.The standard New Keynesian model is used for illustrating how concern for modelling errors interacts with imperfect information.Agents achieve robustness by simultaneously over-estimating the persistence of exogenous shocks, but under-estimating the policy response to the output gap.This under-estimation, combined with imperfect measurement, leads to larger and more persistent responses of private consumption to government expenditure shocks under robust expectations.
Schlagwörter: 
expectations
robust control
model uncertainty
monetary policy
imperfect information
JEL: 
D81
C61
E52
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
952-462-122-3
Dokumentart: 
Working Paper

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