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- 2007615479 abstract "We use robust control techniques to study the effects of model uncertainty on monetary policy in an estimated, sem--structural, small-open-economy model of the U.K. Compared to the closed economy, the presence of an exchange rate channel for monetary policy not only produces new trade-offs for monetary policy, but it also introduces an additional source of specification errors. We find that exchange rate shocks are an important contributor to volatility in the model, and that the exchange rate equation is particularly vulnerable to model misspecification, along with the equation for domestic inflation. However, when policy is set with discretion, the cost of insuring against model misspecification appears reasonably small.".
- 2007615479 contributor B11045207.
- 2007615479 contributor B11045208.
- 2007615479 contributor B11045209.
- 2007615479 created "[2006]".
- 2007615479 date "2006".
- 2007615479 date "[2006]".
- 2007615479 dateCopyrighted "[2006]".
- 2007615479 description "Includes bibliographical references.".
- 2007615479 description "Mode of access: World Wide Web.".
- 2007615479 description "System requirements: Adobe Acrobat Reader.".
- 2007615479 description "We use robust control techniques to study the effects of model uncertainty on monetary policy in an estimated, sem--structural, small-open-economy model of the U.K. Compared to the closed economy, the presence of an exchange rate channel for monetary policy not only produces new trade-offs for monetary policy, but it also introduces an additional source of specification errors. We find that exchange rate shocks are an important contributor to volatility in the model, and that the exchange rate equation is particularly vulnerable to model misspecification, along with the equation for domestic inflation. However, when policy is set with discretion, the cost of insuring against model misspecification appears reasonably small.".
- 2007615479 hasFormat "Also available in print.".
- 2007615479 identifier wp07-04bk.pdf.
- 2007615479 identifier index.php.
- 2007615479 isFormatOf "Also available in print.".
- 2007615479 isPartOf "FRBSF working paper (Online) ; #2007-04.".
- 2007615479 isPartOf "FRBSF working paper ; 2007-04".
- 2007615479 issued "2006".
- 2007615479 issued "[2006]".
- 2007615479 language "eng".
- 2007615479 publisher "[San Francisco] : Federal Reserve Bank of San Francisco,".
- 2007615479 relation "Also available in print.".
- 2007615479 requires "Mode of access: World Wide Web.".
- 2007615479 requires "System requirements: Adobe Acrobat Reader.".
- 2007615479 spatial "Great Britain".
- 2007615479 subject "HB1".
- 2007615479 subject "Model uncertainty; robust control; model misspecification".
- 2007615479 subject "Monetary policy Econometric models.".
- 2007615479 subject "Monetary policy Great Britain Econometric models.".
- 2007615479 title "Monetary policy in a small open economy with a preference for robustness [electronic resource] / Richard Dennis, Kai Leitemo, Ulf Söderström.".
- 2007615479 type "text".