Solving for Optimal Simple Rules in Rational Expectations Models
نویسندگان
چکیده
This paper presents techniques to solve for optimal simple monetary policy rules in rational expectations models. Both the pre-commitment and the discretionary solutions are considered. The techniques described are notable for the flexibility they provide over the structure of the policy rule being solved for. Specifically, not all state variables need enter the rule. This allows rules optimal, conditional on a specified information set, or structure, to be easily constructed. The algorithms are illustrated through application to the models in Clarida, Gali, and Gertler (1999) and Rudebusch (2000). * I am indebted to Charlie Bean, Warwick McKibbin, Graeme Wells, and especially Adrian Pagan for suggestions on a previous draft. The views expressed in this paper do not necessarily reflect those of the Federal Reserve Bank of San Francisco or the Federal Reserve System. • Address for correspondence: Economic Research Department, Federal Reserve Bank of San Francisco, 101 Market St, San Francisco CA 94105, USA. Email: [email protected]
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