Monetary policy rules in the open economy: effects on welfare and business cycles

• 成果类型: Article; Proceedings Paper
• 署名作者: Kollmann, R
• 署名单位: University of Bonn
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(02)00132-0
• 发表日期: 2002
• 页码: 989-1015
• 关键词: open economy; Interest rate rules; business cycles

摘要

This paper computes welfare maximizing Taylor-style interest rate rules, in a business cycle model of a small open economy. The model assumes staggered price setting and shocks to domestic productivity, to the world interest rate, to world inflation, and to the uncovered interest rate parity condition. Optimized policy rules have a pronounced anti-inflation stance and entail significant nominal and real exchange rate volatility. The country responds to an increase in external volatility by holding more foreign assets. The policy rule affects the variance and the mean of consumption. The effect on the mean matters significantly for welfare. (C) 2002 Elsevier Science B.V. All rights reserved.