Monetary policy, parameter uncertainty and optimal learning

Journal of Monetary Economics

Volumn 46, Issue 1, 2000, Pages 199-228

  Wieland, Volker ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

Bayesian learning; C44; D83; E40; E52; Inflation targeting; Learning by doing; Monetary policy; Optimal control with unknown parameters; Structural change

Indexed keywords

EID: 0000060772     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(00)00023-4     Document Type: Article

References (44)

1. Amman H., Kendrick D. Nonconvexities in stochastic control models. International Economic Review. 36:1995;455-475.
2. Anderson T., Taylor J.B. Some experimental results on the statistical properties of least squares estimates in control problems. Econometrica. 44:1976;1289-1302.
3. Balvers R., Cosimano T. Inflation variability and gradualist monetary policy. Review of Economic Studies. 61:1994;721-738.
4. Basar T., Salmon M. Credibility and the value of information transmission in a model of monetary policy and inflation. Journal of Economic Dynamics and Control. 14:1990;97-116.
5. Bertocchi G., Spagat M. Learning, experimentation and monetary policy. Journal of Monetary Economics. 32:1993;169-178.
6. Blackwell D. Discounted dynamic programming. Annals of Mathematical Statistics. 36:1965;226-335.
7. Blinder, A., 1998. Central Banking in Theory and Practice. MIT Press, Cambridge.
8. Brainard W. Uncertainty and the effectiveness of policy. American Economic Review. 57:1967;411-425.
9. Caplin A., Leahy J. Monetary policy as a process of search. American Economic Review. 86:1996;689-702.
10. Chung, H., 1990. Did policy makers really believe in the Phillips curve?: an econometric test. unpublished Ph.D. Dissertation, University of Minnesota.
11. Clarida, R., Gertler, M., 1997. How the Bundesbank conducts monetary policy. In: Romer, C., Romer, D. (Eds.), Reducing Inflation: Motivation and Strategy. NBER and Chicago Press.
12. Craine R. Optimal monetary policy with uncertainty. Journal of Economic Dynamics and Control. 1:1979;59-83.
13. Dornbusch, R., 1997. Comment on How the Bundesbank conducts monetary policy. In: Romer, C., Romer, D. (Eds.), Reducing Inflation: Motivation and Strategy. NBER and Chicago Press.
14. Easley D., Kiefer N.M. Controlling a stochastic process with unknown parameters. Econometrica. 56:1988;1045-1064.
15. Gerlach, S., 1994. German unification and the demand for German M3. Bank for International Settlements working paper 21.
16. Greene, W., 1993. Econometric Analysis. Macmillan, New York.
17. Hallman, J., Porter, R., Small, D., 1991. Is the price level tied to the M2 monetary aggregate in the long run? American Economic Review 81, 841-858.
18. Hansen G., Kim J. The stability of german money demand: test of the cointegration relation. Weltwirtschaftliches Archiv. 131:1995;286-301.
19. Harvey, A., 1993. Time Series Models, 2nd Edition. MIT Press, Cambridge.
20. Horvath, B., 1991. Are policy variables exogenous? The econometric implications of learning while maximizing. Lecture Notes in Economics and Mathematical Systems, Vol. 364. Springer, Berlin.
21. Issing, O., Tödter, K., 1995. Geldmenge und Preise im vereinigten Deutschland. In: Duwendag, D. (Ed.), Neuere Entwicklungen in der Geldtheorie und Währungspolitik. Schriften des Vereins für Socialpolitik, pp. 97-123.
22. Kasa, K., 1996. Will the fed ever learn? unpublished manuscript, Federal Reserve Bank of San Francisco, Research Department.
23. Kendrick, D., 1981. Stochastic Control for Economic Models, Economic Handbook Series. McGraw-Hill, New York.
24. Kendrick D. Caution and probing in a macroeconomic model. Journal of Economic Dynamics and Control. 4:1982;149-170.
25. Kiefer N., Nyarko Y. Optimal control of an unknown linear process with learning. International Economic Review. 30:1989;571-586.
26. Kole L., Meade E. German monetary targeting: a retrospective view. Federal Reserve Bulletin. 81:1995;917-931.
27. Marcet A., Sargent T. Convergence of least squares learning mechanisms in self-referential linear stochastic models. Journal of Economic Theory. 48:1989;337-368.
28. Mizrach B. Non-convexities in a stochastic control problem with learning. Journal of Economic Dynamics and Control. 15:1991;515-538.
29. Neumann, M., 1996. Monetary targeting in Germany. IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, Discussion Paper 96-E-15.
30. OECD, 1993. 1992-93 Economic survey, Germany. OECD, Paris.
31. OECD, 1994. 1993-94, Economic survey, Germany. OECD, Paris.
32. Prescott E. The multi-period control problem under uncertainty. Econometrica. 40:1972;1043-1048.
33. Scharnagl, M., 1998. The stability of German money demand: not just a myth. Empirical Economics 23.
34. Sims C.A. Projecting policy effects with statistical models. Revista de Analisis Economico. 3:1988;3-20.
35. Staiger, D., Stock, J., Watson, M., 1997. How precise are estimates of the natural rate of unemployment? In: Romer, C., Romer, D. (Eds.), Reducing Inflation: Motivation and Strategy. NBER and Chicago Press.
36. Taylor J.B. Asymptotic properties of multiperiod control rules in the linear regression model. International Economic Review. 15:1974;472-484.
37. Tinsley P., von zur Muehlen P. A Maximum probability approach to short-run policy. Journal of Econometrics. 15:1982;31-48.
38. Tödter K., Reimers H. P-star as a link between money and prices in Germany. Welwirtschaftliches Archiv. 130:1994;273-289.
39. Tödter, K., Ziebarth, G., 1997. Price stability versus low inflation in Germany: an analysis of costs and benefits. NBER working paper 6170.
40. Tse E., Bar-Shalom Y. An actively adaptive control for linear systems with random parameters. IEEE Transactions on Automatic Control. 17:1973;38-52.
41. von Hagen J. Monetary union, money demand, and money supply. a review of the german monetary union European Economic Review. 37:1993;803-836.
42. Wieland V. Learning by doing and the value of optimal experimentation. Journal of Economic Dynamics and Control. 24:2000;501-534.
43. Wolters, J., Teräsvirta, T., Lütkepohl, H., 1998. Modeling the demand for M3 in the unified Germany. Review of Economics and Statistics 399-409.
44. Zellner, A., 1971. Introduction to Bayesian Inference in Econometrics. Wiley, New York.