Inflation and output volatility under asymmetric incomplete information

Journal of Economic Dynamics and Control

Volumn 35, Issue 1, 2011, Pages 40-51

  Carboni, Giacomo ^a   Ellison, Martin ^b,c  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c Bank of Finland ^*  (Finland)

Author keywords

Asymmetric information; Imperfect credibility; Signal extraction

Indexed keywords

EID: 78449298656     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2010.08.003     Document Type: Article

References (31)

1. Ang A., Piazzesi M. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics 2003, 50:745-787.
2. Angeletos G.-M., Pavan A. Transparency of information and coordination in economies with investment complementarities. American Economic Review Papers and Proceedings 2004, 94:91-98.
3. Angeletos G.-M., Pavan A. Efficient use of information and social value of information. Econometrica 2007, 75:1103-1142.
4. Aoki K. On the optimal monetary policy response to noisy indicators. Journal of Monetary Economics 2003, 50:501-523.
5. Aoki, K., Kimura, T., 2008. Central bank's two-way communication with the public and inflation dynamics, mimeo.
6. Bekaert G., Cho S., Moreno A. New-Keynesian macroeconomics and the term structure. Journal of Money, Credit and Banking 2010, 42:33-62.
7. Calvo G. Staggered prices in a utility-maximizing framework. Journal of Monetary Economics 1983, 47:383-398.
8. Cogley T., Sargent T.J. Drifts and volatilities: monetary policies and outcomes in the post WWII U.S. Review of Economic Dynamics 2005, 8:262-302.
9. Clarida R., Galí J., Gertler M. The science of monetary policy: a New Keynesian perspective. Journal of Economic Literature 1999, 37:1661-1707.
10. Clarida R., Galí J., Gertler M. Monetary policy rules and macroeconomic stability: evidence and some theory. The Quarterly Journal of Economics 2000, 115:147-180.
11. Erceg C., Levin A. Imperfect credibility and inflation persistence. Journal of Monetary Economics 2003, 50:915-944.
12. Eusepi, S., Preston, B., 2010. Central bank communication and expectations stabilization. American Economic Journal: Macroeconomics 2, 235-271.
13. Goodfriend M., King R. The new neoclassical synthesis and the role of monetary policy. NBER Macroeconomics Annual 1997, 12:231-296.
14. Gürkaynak R.S., Sack B., Swanson E.T. The sensitivity of long-term interest rates to economic news: evidence and implications for macroeconomic models. American Economic Review 2005, 95:425-436.
15. Hellwig, C., 2006. Heterogeneous information and the welfare effects of public information disclosures, mimeo.
16. Honkapohja, S.M.S., Mitra, K., Evans, G., 2003. Notes on agents' behavioral rules under adaptive learning and recent studies of monetary policy, mimeo.
17. Justiniano, A., Primiceri, G., 2008. Potential and natural output, mimeo.
18. Kozicki S., Tinsley P.A. Permanent and transitory policy shocks in an empirical macro model with asymmetric information. Journal of Economic Dynamics and Control 2006, 29:1985-2015.
19. Ljungqvist L., Sargent T.J. Recursive Macroeconomic Theory 2004, MIT Press.
20. McConnell M.M., Perez-Quiros G. Output fluctuations in the United States: what has changed since the early 1980's?. American Economic Review 2000, 90:1464-1476.
21. Morris S., Shin H.S. The social value of public information. American Economic Review 2002, 92:1521-1534.
22. Orphanides A. Monetary-policy rules and the Great Inflation. American Economic Review 2002, 92:115-120.
23. Orphanides A., Porter R.D., Reifschneider D., Tetlow R., Finan F. Errors in the measurement of the output gap and the design of monetary policy. Journal of Economics and Business 2000, 52:117-141.
24. Pearlman J.G. Diverse information and rational expectations models. Journal of Economic Dynamics and Control 1986, 10:333-338.
25. Pearlman J.G. Reputational and nonreputational policies under partial information. Journal of Economic Dynamics and Control 1992, 16:339-357.
26. Pearlman J.G., Currie D., Levine P. Rational expectations models with partial information. Economic Modelling 1986, 3:90-105.
27. Preston B. Learning about monetary policy rules when long-horizon expectations matter. International Journal of Central Banking 2005, 1(2):81-126.
28. Svensson L.E.O., Woodford M. Indicator variables for optimal policy under asymmetric information. Journal of Economic Dynamics & Control 2004, 28:661-690.
29. Svensson L.E.O. Social value of public information: comment: Morris and Shin (2002) is actually pro-transparency, not con. American Economic Review 2006, 96:448-452.
30. Woodford M. The Taylor rule and optimal monetary policy. American Economic Review 2001, 91:232-237.
31. Woodford M. Interest and Prices: Foundations of a Theory of Monetary Policy 2003, Princeton University Press.