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Título

The Role of Model Uncertainty and Learning in the U.S. Postwar Policy Response to Oil Prices

AutorRondina, Francesca
Palabras claveBayesian model averaging
Learning
Model uncertainty
Oil prices
Robust policy
Fecha de publicación9-feb-2012
EditorElsevier
CitaciónJournal of Economic Dynamics and Control 36(7): 1009-1041 (2012)
ResumenThis paper studies optimal monetary policy in a framework that explicitly accounts for policymakers' uncertainty about the channels of transmission of oil prices into the economy. More specifically, using postwar US data, I examine the evolution of the policy recommendations originating from an optimal linear regulator problem that encompasses model uncertainty and learning, as proposed by . Cogley and Sargent (2005b). In this environment, I find that one of the underlying models dominates the robust interest rate response to oil prices, and I show that this result is due to the instability of this specification in the sample period under analysis. © 2012 Elsevier B.V.
Versión del editorhttp://dx.doi.org/10.1016/j.jedc.2012.01.013
URIhttp://hdl.handle.net/10261/125723
DOI10.1016/j.jedc.2012.01.013
Identificadoresissn: 0165-1889
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