Search Results - subject:"Robust Control"

Stochastic optimization and worst-case analysis in monetary policy design

Rustem, Berc; Wieland, Volker; Zakovic, Stan - 2005

In this paper we compare expected loss minimization to worst-case or minimax analysis in the design of simple Taylor-style rules for monetary policy using a small model estimated for the euro area by Orphanides and Wieland (2000). We find that rules optimized under a minimax objective in the...

Persistent link: https://www.econbiz.de/10010298304

Robust monetary policy in a small open economy

Leitemo, Kai; Söderström, Ulf - 2005

This paper studies how a central bank's preference for robustness against model misspecification affects the design of monetary policy in a New-Keynesian model of a small open economy.Due to the simple model structure, we are able to solve analytically for the optimal robust policy rule, and we...

Persistent link: https://www.econbiz.de/10012147949

Robustifying learnability

Tetlow, Robert J.; Muehlen, Peter von zur - Federal Reserve Board (Board of Governors of the … - 2005

parameterizations of a given policy rule, we use structured singular value analysis (from robust control theory) to find the largest …

Persistent link: https://www.econbiz.de/10005512992

Stochastic optimization and worst-case analysis in monetary policy design

Rustem, Berc; Wieland, Volker; Zakovic, Stan - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958728

What do robust policies look like for open economy inflation targeters?

Lees, Kirdan - Society for Computational Economics - SCE - 2005

robust to models close to the policymaker’s best approximation. While there exist some open economy robust control policy … experiments (Leitemo and Söderström (2004) obtain analytical robust control solutions for a purely forward-looking new Keynesian …

Persistent link: https://www.econbiz.de/10005132652

Stochastic Optimization and Worst-Case Analysis in Monetary Policy Design

Rustem, Berc; Wieland, Volker; Zakovic, Stan - Center for Financial Studies - 2005

Classification: E52, E58, E61 Keywords: Worst-case analysis, robust control, minimax, monetary policy rules, euro area … research has proposed worst-case analysis—also referred to as min- imax or robust control—as an alternative paradigm for … (1999) applied H-infinity robust control to Ball’s model. 3 The respective parameter in our model is the interest …

Persistent link: https://www.econbiz.de/10005176433

Robust monetary policy in a small open economy

Leitemo, Kai; Söderström, Ulf - Suomen Pankki - 2005

This paper studies how a central bank’s preference for robustness against model misspecification affects the design of monetary policy in a New-Keynesian model of a small open economy. Due to the simple model structure, we are able to solve analytically solve the optimal robust policy rule,...

Persistent link: https://www.econbiz.de/10005190748

Robustly Optimal Monetary Policy in a Microfounded New Keynesian Model

Adam, Klaus; Woodford, Michael - C.E.P.R. Discussion Papers - 2012

We consider optimal monetary stabilization policy in a New Keynesian model with explicit microfoundations, when the central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy that will be as good as possible in the case of any...

Persistent link: https://www.econbiz.de/10011083361

Robust monetary policy in a model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - In: Journal of Macroeconomics 34 (2012) 2, pp. 318-325

presence of model uncertainty. Under robust control, the central bank reacts more aggressively to both types of shocks, and …

Persistent link: https://www.econbiz.de/10010875208

Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification

Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: Management Science 58 (2012) 2, pp. 253-272

We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The...

Persistent link: https://www.econbiz.de/10010990532