Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics
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Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Macroeconomic theory (monetary models, models of taxation) (91B64) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20)
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Cites work
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- Bubbles and Crashes
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- Heterogeneity of agents, transactions costs and the exchange rate
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- Optimization of stochastic systems. Topics in discrete-time systems
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- Slow boom, sudden crash
- Statistical decision functions which minimize the maximum risk
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The design of feedback rules in linear stochastic rational expectations models
Cited in
(13)- Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space
- Robust stability, ℋ2 analysis and stabilisation of discrete-time Markov jump linear systems with uncertain probability matrix
- Optimal policy in Markov-switching rational expectations models
- A disutility-based drift control for exchange rates
- Interactions between monetary and fiscal policy under flexible exchange rates
- Optimal exchange rate policy under unknown pass-through and learning with applications to Korea
- Optimal regime switching and threshold effects
- Adaptive learning in regime-switching models
- Stochastic model predictive control for constrained discrete-time Markovian switching systems
- Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems
- An optimal control problem of monetary policy
- Quadratic costs and second moments of jump linear systems with general Markov chain
- How do coalitions break down? An alternative view
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