Solution of macromodels with Hansen-Sargent robust policies: some extensions

DOI10.1016/J.JEDC.2003.11.001MaRDI QIDQ953723zbMATHOpenAlexFDO

Authors Paul Söderlind, Paolo Giordani

Publication date 6 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2003.11.001

zbMATH Keywords

robustnessmodel uncertaintydiscretionsimple rules

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Sensitivity (robustness) (93B35) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)

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Cites work

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• A robust Hansen-Sargent prediction formula
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• Maxmin expected utility with non-unique prior
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• Solving linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• Using the generalized Schur form to solve a multivariate linear rational expectations model

Cited in

(18)

• Robust monetary rules under unstructured model uncertainty
• ROBUST MONETARY POLICY IN THE NEW KEYNESIAN FRAMEWORK
• Robust monetary policy in a small open economy
• The age-specific burdens of short-run fluctuations in government spending
• The Asian financial crisis and international reserve accumulation: a robust control approach
• Imperfect credibility and robust monetary policy
• scientific article; zbMATH DE number 4014397 (Why is no real title available?)
• Three types of robust Ramsey problems in a linear-quadratic framework
• ROBUST MONETARY POLICY UNDER UNCERTAINTY ABOUT CENTRAL BANK PREFERENCES
• OPTIMAL POLICY IN RATIONAL EXPECTATIONS MODELS: NEW SOLUTION ALGORITHMS
• A note on monetary policy, asset prices, and model uncertainty
• Model uncertainty and intertemporal tax smoothing
• Optimal foreign exchange intervention in an inflation targeting regime: some cautionary tales
• Robust control with commitment: a modification to Hansen-Sargent
• A robust Hansen-Sargent prediction formula
• Robust \(H_\infty\) control for a generic linear rational expectations model of economy
• Robust policies in a sticky information economy
• Methods for robust control

Describes a project that uses

Uses Software

• Matlab
• Octave
• Gensys

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