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2023
- handle: 10670/1.98tqwb
- halshs: halshs-03957248
- doi: 10.2139/ssrn.3232744
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info:eu-repo/semantics/altIdentifier/doi/10.2139/ssrn.3232744
Mots-clés
New-Keynesian Model Ramsey Optimal Policy Interest Rate Smoothing Super-Inertial Rule Inertial Rule C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C62 - Existence and Stability Conditions of Equilibrium E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E43 - Interest Rates: Determination, Term Structure, and Effects E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E47 - Forecasting and Simulation: Models and Applications E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their PoliciesSujets proches
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Jean-Bernard Chatelain et al., « Super-Inertial Interest Rate Rules Are Not Solutions of Ramsey Optimal Monetary Policy », HAL-SHS : économie et finance, ID : 10.2139/ssrn.3232744
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Résumé
Giannoni and Woodford (2003) found that the equilibrium determined by commitment to a super-inertial rule (where the sum of the parameters of lags of interest rate exceed ones and does not depend on the auto-correlation of shocks) corresponds to the unique bounded solution of Ramsey optimal policy for the new-Keynesian model. By contrast, this note demonstrates that commitment to an inertial rule (where the sum of the parameters of lags of interest rate is below one and only depends on the auto-correlation of shocks) corresponds to the unique bounded solution.