Adalid, R. and Coenen, G. and McAdam, Peter and Siviero, S. (2005) The Robustness of Interest Rate Rules In Models of The Euro Area. International Journal of Central Banking, 1 (1). pp. 95-132.
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In this paper, we examine the performance and robustness of optimized interest-rate rules in four models of the euro area that differ considerably in terms of size, degree of aggregation, relevance of forward-looking behavioral elements, and adherence to microfoundations. Our findings are broadly consistent with results documented for models of the U.S. economy: backward-looking models require relatively more aggressive policies with, at most, moderate inertia; rules that are optimized for such models tend to perform reasonably well in forward-looking models, while the reverse is not necessarily true; and, hence, the operating characteristics of robust rules (i.e., rules that perform satisfactorily in all models) are heavily weighted towards those required by backward-looking models.
|Subjects:||H Social Sciences|
|Divisions:||Faculties > Social Sciences > School of Economics|
|Depositing User:||Francis Green|
|Date Deposited:||29 Sep 2008 13:55|
|Last Modified:||14 Jan 2010 14:35|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/9427 (The current URI for this page, for reference purposes)|
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