AT Levin, A Onatski,
J Williams… - 2006 - nber.org
... Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models Andrew T. Levin,
Federal Reserve System and CEPR Alexei Onatski, Columbia University John C. Williams, Federal
Reserve Bank of San Francisco Noah Williams, Princeton University and ...
A Onatski… - 2003 - nber.org
Recently there has been a great deal of interest in studying monetary policy under model
uncertainty. We point out that different assumptions about the uncertainty may result in
drastically different robust'policy recommendations. Therefore, we develop new methods ...
M Cagetti, LP Hansen, T Sargent… - Review of Financial …, 2002 - Soc Financial Studies
Abstract We study how decision‐makers' concerns about robustness affect prices and
quantities in a stochastic growth model. In the model economy, growth rates in technology
are altered by infrequent large shocks and continuous small shocks. An investor observes ...
IK Cho, N Williams… - Review of Economic Studies, 2002 - Wiley Online Library
An ordinary differential equation (ODE) gives the mean dynamics that govern the
convergence to self-confirming equilibria of self-referential systems under discounted least
squares learning. Another ODE governs escape dynamics that recurrently propel away ...
T Sargent, N Williams… - 2004 - nber.org
We use a Bayesian Markov Chain Monte Carlo algorithm to estimate a model that allows
temporary gaps between a true expectational Phillips curve and the monetary authority's
approximating non-expectational Phillips curve. A dynamic programming problem implies ...
LP Hansen, TJ Sargent, G Turmuhambetova… - Journal of Economic …, 2006 - Elsevier
A decision maker fears that data are generated by a statistical perturbation of an
approximating model that is either a controlled diffusion or a controlled measure over
continuous functions of time. A perturbation is constrained in terms of its relative entropy. ...
L Svensson… - 2005 - nber.org
We examine optimal and other monetary policies in a linear-quadratic setup with a relatively
general form of model uncertainty, so-called Markov jump-linear-quadratic systems
extended to include forward-looking variables. The form of model uncertainty our ...
LP Hansen, TJ Sargent… - Manuscript, …, 2001 - pages.stern.nyu.edu
Abstract Max-min expected utility theory uses multiple prior distributions to represent a
decision maker's uncertainty aversion. Robust control theory models a decision maker who
fears that the data are generated by an unknown perturbation of his approximating model. ...
A Onatski… - Manuscript, Princeton University, …, 2004 - pages.stern.nyu.edu
Abstract In this paper we consider the policy implications of a fully specified dynamic general
equilibrium model, developed by Smets and Wouters (2003a). This is a relatively large-scale
forward looking model, which was shown to provide a good fit to the data. However there ...
GW Evans, S Honkapohja… - International Economic …, 2010 - Wiley Online Library
We study the properties of the generalized stochastic gradient (GSG) learning in forward-
looking models. GSG algorithms are a natural and convenient way to model learning when
agents allow for parameter drift or robustness to parameter uncertainty in their beliefs. The ...
TJ Sargent… - Review of Economic Dynamics, 2005 - Elsevier
Recent papers have analyzed how economies with adaptive agents may converge to and
escape from self-confirming equilibria. These papers have imputed to agents a particular
prior about drifting coefficients. In the context of a model of monetary policy, this paper ...
LP Hansen, TJ Sargent… - Journal of Economic …, 2004 - uchicago.edu
Abstract A decision maker fears that data are generated by a statistical perturbation of an
approximating model that is either a controlled diffusion or a controlled measure over
continuous functions of time. A perturbation is constrained in terms of its relative entropy. ...
T Sargent, N Williams… - 2006 - nber.org
We infer determinants of Latin American hyperinflations and stabilizations by using the
method of maximum likelihood to estimate a hidden Markov model that potentially assigns
roles both to fundamentals in the form of government deficits that are financed by money ...
N Williams - Econometrica, 2011 - Wiley Online Library
This paper studies the design of optimal contracts in dynamic environments where agents
have private information that is persistent. In particular, I focus on a continuous-time version
of a benchmark insurance problem where a risk-averse agent would like to borrow from a ...
LEO Svensson… - 2007 - nber.org
Page 1. NBER WORKING PAPER SERIES BAYESIAN AND ADAPTIVE OPTIMAL
POLICY UNDER MODEL UNCERTAINTY Lars EO Svensson Noah M. Williams Working
Paper 13414 http://www.nber.org/papers/w13414 NATIONAL ...
LEO Svensson… - Federal Reserve Bank of St. …, 2008 - c.research.stlouisfed.org
This paper studies the design of optimal monetary policy under uncertainty using a Markov
jumplinear-quadratic (MJLQ) approach. To approximate the uncertainty that policymakers
face, the authors use different discrete modes in a Markov chain and take mode- ...
[CITATION] T. Zha, 2006, Shocks and Government Beliefs: The Rise and Fall of American Inflation
TJ Sargent… - American Economic Review
N Williams - Manuscript, Princeton University, 2002 - ssc.wisc.edu
In this paper we develop methods to analyze the long run behavior of models with multiple
stable equilibria, and we apply them to a well known model of learning in games. Our
methods apply to discrete-time continuous-state stochastic models, and as a particular ...
P Giordani, P Söderlind, WTA Pagan, W Den Haan… - 2002 - Citeseer
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 ...
N Williams - New Palgrave Dictionary of Economics, 2008 - ssc.wisc.edu
1. OVERVIEW Robust control considers the design of decision or control rules that fare well
across a range of alternative models. Thus robust control is inherently about model
uncertainty, particularly focusing on the implications of model uncertainty for decisions. ...
LEO Svensson… - 2008 - nber.org
We study the design of optimal monetary policy under uncertainty in a dynamic stochastic
general equilibrium models. We use a Markov jump-linear-quadratic (MJLQ) approach to
study policy design, approximating the uncertainty by different discrete modes in a Markov ...
[CITATION] Robustness and model misspecification
LP Hansen, TJ Sargent, GA Turmuhambetova… - 2004 - manuscript
N Williams - 2006 Meeting Papers, 2006 - emlab.berkeley.edu
We study a simple dynamic model with production, in which a representative agent chooses
an unobservable effort level. We cast the problem as a continuous time principal agent
model. We study the problem of a central planner (the principal) choosing optimal ...
L Svennson… - … Policies Book Series, Monetary Policy under …, 2009 - ssc.wisc.edu
I have long been interested in the analysis of monetary policy under uncertainty. The problems
arise from what we do not know; we must deal with the uncertainty from the base of what we
do know. [...] ... The Fed faces many uncertainties, and must adjust its one policy ...
[CITATION] Robust Control: An Entry for the New Palgrave
N Williams - 2007 - Princeton University Press
[CITATION] Optimal monetary policy in DSGE models: a Markov jump-linear-quadratic approach
LEO Svensson… - Unpublished manuscript, University of Wisconsin, 2008
[CITATION] lMonetary Policy Under Uncertainty in Micro $ Founded Macroeconometric Models, mmanuscript prepared for the NBERks Twentieth Annual Conference …
AT Levin, A Onatski, JC Williams… - 2005 - March
[CITATION] Tao Zha, 2006,” The Conquest of South American Inflation”
T Sargent… - NBER Working Paper
[CITATION] November. Bayesian and Adaptive Optimal Policy under Model Uncertainty
LEO Svensson… - 2006 - mimeo
[CITATION] forthcoming.“Shocks and Government Beliefs: The Rise and Fall of American Inflation.”
T Sargent, N Williams… - American Economic Review
[CITATION] Escaping Nash Inflation
C InMKoo, N Williams… - Review of Economic Studies, forthcoming, 2001
A Onatski… - Journal of Applied Econometrics, 2010 - Wiley Online Library
In this paper we consider the implications of a fully specified dynamic general equilibrium
model, developed by Smets and Wouters (2003). This is a relatively large-scale forward-
looking model, which was shown to provide a good fit to the data. We show that ...
[CITATION] kPersistent Private Information. lUW Madison
N Williams - Unpublished manuscript, 2009
[CITATION] Tao Zha, 2006a,“
TJ Sargent… - Shocks and Government Beliefs: The Rise and Fall of …
[CITATION] Escaping Nash Equilibrium
IK Cho, N Williams… - Review of Economic Studies, 2002
T SARGENT, N WILLIAMS… - 2006 - sv.uio.no
ABSTRACT. We use the method of maximum likelihood to infer determinants of Latin
American hyperinflations. Our model potentially assigns important roles both to
fundamentals, in the form of government deficits that are financed by money creation and ...
N Williams - 2003 - frbatlanta.org
Abstract: Recent papers have analyzed how adaptive agents may converge to and escape
from self-confirming equilibria. All of these papers have imputed to agents a particular prior
about drifting coefficients. In the context of a model of monetary policy, this paper analyzes ...
[CITATION] Robustness and Pricing with Uncertain
M Cagetti, LP Hansen, T Sargent… - 2000
A Onatski,
JC Williams… - 2005 - faculty.wcas.northwestern.edu
ABSTRACT We use a micro-founded macroeconometric modeling framework to investigate
the design of monetary policy when the central bank faces uncertainty about the true
structure of the economy. We apply Bayesian methods to estimate the parameters of the ...
N Williams… - Computing in Economics and Finance …, 2005 - ideas.repec.org
We examine optimal and other monetary policies in a linear-quadratic setup with relatively
general forms of model uncertainty. The forms of uncertainty our framework encompasses
include: simple iid model deviations; serially correlated model deviations; estimable ...
N Williams, A Levin… - 2005 - ideas.repec.org
Over the past decade there has been remarkable progress in developing empirical micro-
founded macroeconomic models for monetary policy analysis that feature coherence both to
economic theory and to the data. In this paper, we estimate using Bayesian methods a ...
T SARGENT, N WILLIAMS… - 2005 - newyorkfed.org
ABSTRACT. We develop and estimate a nonlinear general equilibrium model on
hyperinflation. Our estimated results show that the recurrence of hyperinflation and the
sustained end of it are determined by the amount of average seigniorage or shocks to ...
GATN Williams - 2001 - Citeseer
Abstract This paper connects robust control theory to the max-min expected utility model of
uncertainty aversion. Max-min expected utility theory depicts preferences using multiple
prior distributions. Robust control theory regards a unique controlled stochastic process as ...
LEO Svensson… - 2007 - cepr.org
We examine optimal and other monetary policies in a linear-quadratic setup with a relatively
general form of model uncertainty, so-called Markov jump-linear-quadratic systems
extended to include forward-looking variables and unobservable" modes." The form of ...
N Williams - 2011 - economics.sas.upenn.edu
Abstract This paper considers the role of monetary policy in mitigating the effects of financial
crises. I suppose that the economy occasionally but infrequently experiences crises, where
financial variables directly affect the broader real economy. I analyze the formulation of ...
GATN Williams - 2001 - Citeseer
Abstract This paper connects robust control theory to the max-min expected utility model of
uncertainty aversion. Max-min expected utility theory depicts preferences using multiple
prior distributions. Robust control theory regards a unique controlled stochastic process as ...
A Levin, A Onatski, J Williams… - 2011 - papers.ssrn.com
Eight years ago, two Macroeconomics Annual papers—Goodfriend and King (1997) and
Rotemberg and Woodford (1997)-—played a central role in stimulating a burgeoning
research program regarding the monetary policy implications of macroeconomic models ...
[CITATION] Religious responses to the New Deal: the reaction of William Henry Cardinal O'Connell, Monsignor John A. Ryan, Clarence E. Macartney and Reinhold …
PN Williams - 1967 - Harvard University
T SARGENT, N WILLIAMS… - 2004 - nber.org
ABSTRACT. In this paper we develop and estimate a structural model of learning with an
optimizing government that is able to explain much of the rise and fall of inflation in the US.
In our self-referential learning model, the government's prior beliefs are a key element ...
[CITATION] MODEL UNCERTAINTY BY ALEXEI ONATSKI AND NOAH WILLIAMS
N WILLIAMS - 2002
GA Reader, SH Kim, S Moon, K Mitra, GW Evans… - Policy, 2008 - st-andrews.ac.uk
N Williams… - Computing in Economics and …, 2003 - econpapers.repec.org
By Noah Williams and Alexei Onatski; Robust Monetary Policy Rules for the Short and Long Run.
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