The performance of forecast-based monetary policy rules under model uncertainty

• 成果类型: Article
• 署名作者: Levin, A; Wieland, V; Williams, JC
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Goethe University Frankfurt
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/000282803322157016
• 发表日期: 2003
• 页码: 622-645
• 关键词: coordination; makers; AGREE

摘要

We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty; such rules respond to the one-year-ahead inflation forecast and to the current output gap and incorporate a substantial degree of policy inertia. In contrast, rules with longer forecast horizons are less robust and are prone to generating indeterminacy. Finally, we identify a robust benchmark rule that performs very well in all five models over a wide range of policy preferences.