Central banks and ambiguity

International Review of Economics and Finance

Volumn 17, Issue 1, 2008, Pages 85-102

  Spanjers, Willy ^a  

^a KINGSTON UNIVERSITY   (United Kingdom)

Author keywords

Ambiguity; Central bank; Choquet Expected Utility; Monetary Policy; Robust control

Indexed keywords

EID: 36448990045     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2006.04.003     Document Type: Article

References (45)

1. Anscombe F., and Aumann R. A definition of subjective probability. Annals of Mathematical Statistics 34 (1963) 199-205
2. Backus D., and Drifill J. Inflation and reputation. American Economic Review 75 (1985) 530-538
3. Barro R. Reputation in a model of monetary policy with incomplete information. Journal of Monetary Economics 17 (1986) 3-20
4. Barro R., and Gordon D. A positive theory of monetary policy in a natural rate mode. Journal of Political Economy 91 (1983) 589-610
5. Barro R., and Gordon D. Rules, discretion and reputation in a model of monetary policy. Journal of Monetary Economics 12 (1983) 101-122
6. Bewley T. Knightian decision theory: Part I. Cowles Foundation Discussion Paper Vol. 807 (1986), Yale University, New Haven
7. Bewley T. Knightian decision theory, Part II. Cowles Foundation Discussion Paper Vol. 835 (1987), Yale University, New Haven
8. Brock W., Durlauf S., and West K. Model uncertainty and policy evaluation. Some theory and empirics. NBER Working Paper Vol. 10916 (2004), NBER, Cambridge
9. Caglianrini, A. and Heath, A. (2000). Monetary policy making in the presence of Knightian uncertainty, Mimeo, Economic Research Department (Reserve Bank of Australia, Sydney).
10. Chprits, E. and Schipper, B. (2003). Knightian intransparency of central bank and labor union, Mimeo, Department of Economics (University of Bonn, Bonn).
11. Dow J., and Werlang S. Uncertainty aversion, risk aversion and the optimal choice of portfolio. Econometrica 60 (1992) 197-205
12. Dow J., and Werlang S. Nash equilibrium under Knightian uncertainty: Breaking down backward induction. Journal of Economic Theory 64 (1994) 305-324
13. Ellsberg D. Risk, ambiguity and the savage axioms. Quarterly Journal of Economics 75 (1961) 643-669
14. Epstein L., and Wang T. Intertemporal asset pricing and Knightian uncertainty. Econometrica 62 (1994) 283-322
15. Fischer S. Long-term contracts, rational expectations and the optimal money supply rule. Journal of Political Economy 85 (1977) 191-205
16. Friedman M. The role of monetary policy. American Economic Review 58 (1968) 1-17
17. Ghirardato P., Maccheroni F., and Marinacci M. Differentiating between ambiguity and ambiguity attitude. Journal of Economic Theory 118 (2004) 133-173
18. Gilboa I. Expected utility with purely subjective non-additive probabilities. Journal of Mathematical Economics 18 (1987) 65-88
19. Hansen L., and Sargent T. Robust control of forward-looking models. Journal of Monetary Economics 50 (2003) 581-604
20. Hansen L., and Sargent T. Robust control, Manuscript (2005), New York University, New York
21. Issing O. The monetary policy of the ECB in a world of uncertainty. Speech held to the policy panel at the Conference on Monetary Policy Making under Uncertainty, Frankfurt am Main (1999)
22. Kelsey D., and Milne F. Induced preferences, dynamic consistency and Dutch books. Economica 64 (1997) 471-481
23. Kelsey D., and Milne F. Induced preferences, non-additive beliefs, and multiple priors. International Economic Review 40 (1999) 455-477
24. Kelsey, D., Spanjers, W. (1997/2004). Ambiguity in partnerships, The Economic Journal, 114, 528-546.
25. Keynes J. The general theory of employment. From: Quarterly Journal of Economics, Collected Writings Vol. 14 (1937), Macmillan, London 109-123
26. Kissmer, F. (2005). Uncertain degree of central bank independence: Transparency vs. opacity, Mimeo (University of Hagen, Hagen).
27. Knight F. Risk, uncertainty and profit (1921), Houghton Miffin, Boston
28. Kuester, L., Wieland, V. (2005). Insurance policies for monetary policy in the Euro area, CFS Working Paper Nr. 2005/13 (Center for Financial Studies, University of Frankfurt).
29. Kydland F., and Prescott E. Rules rather than discretion: The inconsistency of optimal plans. Journal of Political Economy 85 (1977) 473-492
30. Lucas R. Some international evidence on output-inflation tradeoffs. American Economic Review 63 (1976) 326-334
31. Marinacci M. Ambiguous games. Games and Economic Behavior 31 (2000) 191-219
32. Mankiw G. Macroeconomics. 5th Edition. (2003), Worth Publishers, New York
33. Rotemberg J. Monopolistic price adjustment and aggregate output. Review of Economic Studies 40 (1982) 517-531
34. Rothe, J. (1996/98). Uncertainty aversion and backward induction, Mimeo (London School of Economics, London).
35. Rothe, J. (1996/99). Uncertainty aversion and equilibrium in extended form games, Mimeo (London School of Economics, London).
36. Savage L. Foundation of statistics (1954), Wiley, New York
37. Sarin S., and Wakker P. A simple axiomatisation of non-additive expected utility. Econometrica 60 (1992) 1255-1272
38. Schmeidler, D. (1982/89). Subjective probability and expected utility without additivity, Econometrica, 57, 571-587.
39. Spanjers, W. (1998/2005). Loss of confidence and currency crises, Discussion Paper 2005/02, School of Economics (Kingston University, Kingston-upon-Thames).
40. Spanjers, W. (1999). Liquiditätsversorgung bei Knight'scher Unsicherheit: ein theoretischer Vergleich von Banken und Märkten, (Provision of liquidity under Knightian uncertainty: A theoretical comparison of banks and markets), Habilitation thesis (University of Saarland, Saarbrücken).
41. Svensson, L. (2000). Robust control made simple, Mimeo (Princeton University, Princeton).
42. Wagner, H. (2005a). Unsicherheit in der Zentralbankpolitik (Uncertainty in central bank policy), Mimeo (University of Hagen, Hagen).
43. Wagner, H. (2005b). Information und Unsicherheit in der Geldtheorie (Information and uncertainty in monetary theory), Mimeo (University of Hagen, Hagen).
44. Walsh C. Implications of a changing economic structure for the strategy of monetary policy. Monetary policy and uncertainty: Adapting to a changing economy (Federal Reserve Bank of Kansas City's Jackson Hole Symposium, Wyoming) (2003)
45. Walsh C. Endogenous objectives and the evaluation of targeting rules for monetary policy. Journal of Monetary Economics 52 (2005) 889-911