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

Paolo Giordani () and Paul Söderlind

No 499, SSE/EFI 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)
Pages: 21 pages
Date: 2002-05-02, Revised 2003-05-15
New Economics Papers: this item is included in nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Solution of macromodels with Hansen-Sargent robust policies: some extensions (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0499

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