NBER WORKING PAPER SERIES MONETARY POLICY UNDER UNCERTAINTY IN MICRO-FOUNDED MACROECONOMETRIC MODELS

The views expressed herein are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System, the management of the Federal Reserve Bank of San Francisco, or anyone else associated with the Federal Reserve System. We appreciate comments and suggestions from the editors, Mark Gertler and Ken Rogoff, and from our two discussants, Giorgio Primiceri and Carl Walsh. This paper has also benefitted from conversations with Klaus Adam, Michele Cavallo, Steve Cecchetti, Matt Canzoneri, Richard Dennis, Behzad Diba, John Fernald, John Leahy, David Lopez-Salido, and Lars Svensson. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

[1]  F. Smets,et al.  Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach , 2007 .

[2]  Andrew T. Levin,et al.  Optimal monetary policy with durable consumption goods , 2006 .

[3]  Luca Guerrieri,et al.  Sigma: A New Open Economy Model for Policy Analysis , 2005 .

[4]  C. Walsh.  Endogenous objectives and the evaluation of targeting rules for monetary policy , 2005 .

[5]  A. Scott.  INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY , 2005, Macroeconomic Dynamics.

[6]  Juan F. Rubio-Ramírez,et al.  Comparing New Keynesian Models of the Business Cycle: A Bayesian Approach , 2005 .

[7]  R. Hall.  Job Loss, Job Finding, and Unemployment in the U.S. Economy over the Past Fifty Years , 2005, NBER Macroeconomics Annual.

[8]  Lawrence J. Christiano,et al.  Firm-Specific Capital, Nominal Rigidities and the Business Cycle , 2005 .

[9]  Frank Schorfheide,et al.  On the Fit and Forecasting Performance of New Keynesian Models , 2005, SSRN Electronic Journal.

[10]  Frank Schorfheide,et al.  A Bayesian Look at New Open Economy Macroeconomics , 2005, NBER Macroeconomics Annual.

[11]  Andrew T. Levin,et al.  The Magnitude and Cyclical Behavior of Financial Market Frictions , 2004 .

[12]  M. Woodford,et al.  Optimal Stabilization Policy When Wages and Prices are Sticky: The Case of a Distorted Steady State , 2004 .

[13]  Matthias O. Paustian.  Can Wage and Price Stickiness Account for Sizeable Costs of Business Cycle Fluctuations? , 2004 .

[14]  Stephanie Schmitt-Grohé,et al.  Optimal Operational Monetary Policy in the Christiano-Eichenbaum-Evans Model of the Us Business Cycle , 2004 .

[15]  K. Huang,et al.  INPUT–OUTPUT STRUCTURE AND NOMINAL RIGIDITY: THE PERSISTENCE PROBLEM REVISITED , 2004, Macroeconomic Dynamics.

[16]  Tommy Sveen,et al.  New Perspectives on Capital and Sticky Prices , 2004 .

[17]  Mikhail Golosov,et al.  Menu Costs and Phillips Curves , 2003, Journal of Political Economy.

[18]  Lawrence J. Christiano,et al.  The Great Depression and the Friedman-Schwartz Hypothesis , 2003, SSRN Electronic Journal.

[19]  Takeshi Kimura,et al.  Optimal Monetary Policy in a Micro-Founded Model with Parameter Uncertainty , 2003 .

[20]  Rochelle M. Edge,et al.  The Responses of Wages and Prices to Technology Shocks , 2003 .

[21]  M. Woodford,et al.  Optimal Inflation Targeting Rules , 2003 .

[22]  C. Sims,et al.  Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models , 2003 .

[23]  Andrew T. Levin,et al.  Parameter Uncertainty and the Central Bank's Objective Function , 2003 .

[24]  Gauti B. Eggertsson,et al.  Zero Bound on Interest Rates and Optimal Monetary Policy , 2003, Brookings Papers on Economic Activity.

[25]  Andrew T. Levin,et al.  Robust Monetary Policy with Competing Reference Models , 2003 .

[26]  Michael Woodford,et al.  Implementing Optimal Policy Through Inflation-Forecast Targeting , 2003 .

[27]  Andrew T. Levin,et al.  Is Inflation Persistence Intrinsic in Industrial Economies? , 2003, SSRN Electronic Journal.

[28]  Athanasios Orphanides,et al.  Robust Monetary Policy Rules with Unknown Natural Rates , 2003 .

[29]  Frank Smets,et al.  An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area , 2002 .

[30]  Gunter W. Beck,et al.  Learning and control in a changing economic environment , 2002 .

[31]  A. Onatski,et al.  Modeling Model Uncertainty , 2002, SSRN Electronic Journal.

[32]  Frank Schorfheide,et al.  Priors from General Equilibrium Models for Vars , 2002 .

[33]  Michael T. Kiley.  Partial Adjustment and Staggered Price Setting , 2002 .

[34]  Argia M. Sbordone.  Prices and unit labor costs: a new test of price stickiness $ , 2002 .

[35]  Marc P. Giannoni,et al.  DOES MODEL UNCERTAINTY JUSTIFY CAUTION? ROBUST OPTIMAL MONETARY POLICY IN A FORWARD-LOOKING MODEL , 2002, Macroeconomic Dynamics.

[36]  R. Tetlow,et al.  Avoiding Nash Inflation: Bayesian and Robust Responses to Model Uncertainty , 2002 .

[37]  Athanasios Orphanides.  Monetary policy rules based on real-time data , 2001 .

[38]  Lawrence J. Christiano,et al.  Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy , 2001, Journal of Political Economy.

[39]  Glenn D. Rudebusch.  Is the Fed Too Timid? Monetary Policy in an Uncertain World , 2001, Review of Economics and Statistics.

[40]  N. Mankiw,et al.  Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve , 2001 .

[41]  Andrew T. Levin,et al.  Imperfect Credibility and Inflation Persistence , 2001 .

[42]  J. Galí,et al.  European Inflation Dynamics , 2001 .

[43]  Michele Boldrin,et al.  Habit Persistence, Asset Returns, and the Business Cycle , 2001 .

[44]  Sunghyun Kim,et al.  Spurious Welfare Reversals in International Business Cycle Models , 2000 .

[45]  Frank Schorfheide,et al.  Loss function‐based evaluation of DSGE models , 2000 .

[46]  Fatih Guvenen,et al.  Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution , 2000 .

[47]  Jeffrey C. Fuhrer.  Habit Formation in Consumption and Its Implications for Monetary Policy Models , 2000 .

[48]  Karen E. Dynan.  Habit Formation in Consumer Preferences: Evidence from Panel Data , 2000 .

[49]  S. Rebelo,et al.  Resuscitating Real Business Cycles , 2000 .

[50]  Ulf Söderström.  Monetary Policy with Uncertain Parameters , 2000, SSRN Electronic Journal.

[51]  M. Woodford,et al.  Indicator Variables for Optimal Policy , 2000, SSRN Electronic Journal.

[52]  P. Ireland.  Sticky-Price Models of the Business Cycle: Specification and Stability , 2000 .

[53]  Dean Croushore,et al.  A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter? , 1999, Review of Economics and Statistics.

[54]  D. Reifschneider,et al.  Three Lessons for Monetary Policy in a Low Inflation Era , 1999 .

[55]  Andrew T. Levin,et al.  Optimal Monetary Policy with Staggered Wage and Price Contracts , 1999, Credit and Capital Markets – Kredit und Kapital: Volume 52, Issue 4.

[56]  John C. Williams,et al.  Simple Rules for Monetary Policy , 1999 .

[57]  J. Galí,et al.  The Science of Monetary Policy: A New Keynesian Perspective , 1999 .

[58]  Alexei Onatski,et al.  ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY , 1998, Macroeconomic Dynamics.

[59]  John B. Taylor.  Staggered Price and Wage Setting in Macroeconomics , 1998 .

[60]  B. Sack.  Uncertainty, Learning, and Gradual Monetary Policy , 1998 .

[61]  Michael Woodford,et al.  Interest-Rate Rules in an Estimated Sticky Price Model , 1998 .

[62]  B. Mccallum,et al.  Performance of Operational Policy Rules in an Estimated Semi-Classical Structural Model , 1998 .

[63]  Thomas F. Cooley,et al.  The Welfare Cost of Nominal Wage Contracting , 1997 .

[64]  Susanto Basu,et al.  Returns to Scale in U.S. Production: Estimates and Implications , 1997, Journal of Political Economy.

[65]  B. Mccallum,et al.  Issues in the Design of Monetary Policy Rules , 1997 .

[66]  R. King,et al.  The New Neoclassical Synthesis and the Role of Monetary Policy , 1997, NBER Macroeconomics Annual.

[67]  Julio J. Rotemberg,et al.  An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy , 1997, NBER Macroeconomics Annual.

[68]  Ellen R. McGrattan,et al.  Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem? , 1996 .

[69]  P. Griffin.  Input Demand Elasticities for Heterogeneous Labor: Firm-Level Estimates and an Investigation into the Effects of Aggregation , 1996 .

[70]  Susanto Basu,et al.  Procyclical Productivity: Increasing Returns or Cyclical Utilization? , 1995 .

[71]  Miles S. Kimball.  The Quantitative Analytics of the Basic Neomonetarist Model , 1995 .

[72]  John B. Taylor.  Discretion versus policy rules in practice , 1993 .

[73]  P. Griffin.  The Impact of Affirmative Action on Labor Demand: A Test of Some Implications of the Le Chatelier Principle , 1992 .

[74]  J. Frankel,et al.  International Macroeconomic Policy Coordination When Policymakers Do Not Agree on the True Model , 1988 .

[75]  M. Shapiro.  Measuring Market Power in U.S. Industry , 1987 .

[76]  R. Becker.  The Simultaneous Use of Rival Models in Public Optimisation , 1986 .

[77]  G. Calvo.  Staggered prices in a utility-maximizing framework , 1983 .

[78]  Julio J. Rotemberg,et al.  Sticky Prices in the United States , 1982, Journal of Political Economy.

[79]  John B. Taylor.  Aggregate Dynamics and Staggered Contracts , 1980, Journal of Political Economy.

[80]  Edward E. Leamer,et al.  Specification Searches: Ad Hoc Inference with Nonexperimental Data , 1980 .

[81]  R. Craine.  Optimal monetary policy with uncertainty , 1979 .

[82]  Peter J. Klenow.  State-Dependent or Time-Dependent Pricing : Does It Matter for Recent U . S . Inflation ? , 2007 .

[83]  Frederic S. Mishkin.  THE INFLATION TARGETING DEBATE , 2005 .

[84]  Andrew T. Levin,et al.  Optimal Monetary Policy with Endogenous Capital Accumulation , 2004 .

[85]  Andrew T. Levin,et al.  INFLATION PERSISTENCE IN THE EURO AREA : PRELIMINARY SUMMARY OF FINDINGS , 2004 .

[86]  Robert E. Lucas,et al.  Macroeconomic Priorities , 2003 .

[87]  Miles S. Kimball,et al.  Investment Planning Costs and the Effects of Fiscal and Monetary Policy , 2003 .

[88]  Jonas D. M. Fisher,et al.  Evaluating the Calvo Model of Sticky Prices , 2003 .

[89]  E. Schaumburg,et al.  On the Optimal Monetary Policy Response to Noisy Indicators * , 2001 .

[90]  G. Calvo,et al.  Macroeconomic Policy in a World Economy , 1999 .

[91]  M. Woodford,et al.  Handbook of Macroeconomics , 1999 .

[92]  J. G. Hülsmann,et al.  Optimal Monetary Policy , 1999 .

[93]  K. Judd.  Numerical methods in economics , 1998 .

[94]  Glenn D. Rudebusch,et al.  Taylor's rule and the Fed, 1970-1997 , 1998 .

[95]  Andrew T. Levin.  The theoretical and empirical relevance of staggered wage contract models , 1989 .

[96]  Bennett T. McCallum,et al.  Robustness properties of a rule for monetary policy , 1988 .

[97]  Edward C. Prescott,et al.  Dynamic optimal taxation, rational expectations and optimal control , 1980 .

[98]  David V. Pritchett.  Econometric policy evaluation: A critique , 1976 .

[99]  William C. Brainard.  Uncertainty and the effectiveness of policy , 1967 .