The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area

Ramón Adalid, Günter Coenen, Peter McAdam () and Stefano Siviero
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Ramón Adalid: European Central Bank

International Journal of Central Banking, 2005, vol. 1, issue 1

Abstract: In this paper, we examine the performance and robustness of optimized interest-rate rules in four models of the euro area that differ considerably in terms of size, degree of aggregation, relevance of forward-looking behavioral elements, and adherence to microfoundations. Our findings are broadly consistent with results documented for models of the U.S. economy: backward-looking models require relatively more aggressive policies with, at most, moderate inertia; rules that are optimized for such models tend to perform reasonably well in forward-looking models, while the reverse is not necessarily true; and, hence, the operating characteristics of robust rules (i.e., rules that perform satisfactorily in all models) are heavily weighted towards those required by backward-looking models.

JEL-codes: E31 E52 E58 E61 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (43)

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Related works:
Working Paper: The performance and robustness of interest-rate rules in models of the euro area (2005)
Working Paper: The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2005:q:2:a:3

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