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Solving for optimal simple rules in rational expectations models

✍ Scribed by Richard Dennis

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 679 KB
Volume: 28
Category: Article
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(03)00097-6

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✦ Synopsis

This paper presents algorithms that solve for optimal simple monetary policy rules in rational expectations models with precommitment and discretion. The algorithms are applied to the models in Fuhrer (J. Money, Credit, Banking 29 (1997) 214), Clarida et al. (J. Econ. Lit. 37 (1999) 1661) and Rudebusch (Econ. J. 112 (2002) 402) to examine the e ciency properties of operational policy rules. We show that optimized Taylor-type rules preform well in these models, but that, aside from the Fuhrer-Moore model, this result is sensitive to whether the central bank can respond to current period shocks. Taylor-type rules that are operational in the sense that they do not respond to current period information are found to be highly ine cient in the Rudebusch model and in the Clarida et al. (1999) model.

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