SSE/EFI Working Paper Series in Economics and Finance
Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions
() and Paul Söderlind
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.
Keywords: robustness; model uncertainty; discretion; simple rules; (follow links to similar papers)
JEL-Codes: E43; E52; L61; (follow links to similar papers)
21 pages, May 2, 2002, Revised May 15, 2003
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