The role of model uncertainty and learning in the US postwar policy response to oil prices
- 作者：Francesca Rondina ; francesca.rondina@iae.csic.es
- 关键词：Model uncertainty ; Learning ; Robust policy ; Bayesian model averaging ; Oil prices
- 刊名：Journal of Economic Dynamics and Control
- 出版年：2012
- 期刊代码：37_01651889
- 类别：eco
- 出版时间：July, 2012
- 卷：36
- 期：7
- 页码：1009-1041
- 文件大小：2243 K
摘要
This 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 . 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.