Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions

Paolo Giordani () and Paul Soderlind ()

No 499, Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the time inconsistency of optimal monetary policy, the effects of expectations on the variances of inflation and output, and on whether central banks should make their forecasts public.

Keywords: robustness; model uncertainty; discretion; simple rules (search for similar items in EconPapers)
JEL-codes: E43 E52 L61 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge
Date: 2002-05-02, Revised 2003-05-15
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Journal Article: Solution of macromodels with Hansen-Sargent robust policies: some extensions (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0499

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