Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/7881
Título: | Taylor-type rules versus optimal policy in a Markov-switching economy |
Autor(es): | Alexandre, Fernando Gabriel, Vasco J. Bação, Pedro |
Palavras-chave: | Asset prices Monetary policy Markov switching |
Data: | 2008 |
Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
Citação: | NIPE Working Paper series; 15 |
Resumo(s): | We analyse the effect of uncertainty concerning the state and the nature of asset price movements on the optimal monetary policy response. Uncertainty is modelled by adding Markov-switching shocks to a DSGE model with capital accumulation. In our analysis we consider both Taylor-type rules and optimal policy. Taylor rules have been shown to provide a good description of US monetary policy. Deviations from its implied interest rates have been associated with risks of financial disruptions. Whereas interest rates in Taylor-type rules respond to a small subset of information, optimal policy considers all state variables and shocks. Our results suggest that, when a bubble bursts, the Taylor rule fails to achieve a soft landing, contrary to the optimal policy. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/7881 |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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NIPE_WP_15_2008.pdf | Documento principal | 508,2 kB | Adobe PDF | Ver/Abrir |