Some Notes on Monetary Policy Rules with Uncertainty

نویسنده

  • Gabriel Srour
چکیده

The author explores the role that Taylor-type rules can play in monetary policy, given the degree of uncertainty in the economy. The optimal rule is derived from a simple infinite-horizon model of the monetary transmission mechanism, with only additive uncertainty. The author then examines how this rule ought to be modified when there is uncertainty about the parameters, the time lags, and the nature of shocks. Quantitative evaluations are subsequently provided. In particular, it is shown that if the degree of persistence of inflation in the Phillips curve is not high, a simple rule such as the original Taylor rule that offsets demand shocks and puts a relatively small weight on inflation shocks may be an appropriate benchmark for the conduct of monetary policy. Conversely, it is argued that if the degree of persistence of inflation in the Phillips curve is high, then finding a Taylor-type rule that can act as a benchmark for monetary policy is likely to be difficult. JEL classification: E52 Bank classification: Uncertainty and monetary policy Résumé L’auteur explore le rôle que les règles à la Taylor peuvent jouer dans la conduite de la politique monétaire compte tenu du degré d’incertitude de l’économie. Il tire la règle optimale d’un modèle simple à horizon infini du mécanisme de transmission monétaire, où l’incertitude intervient sous une forme additive. Il examine comment cette règle doit être modifiée quand il y a incertitude au sujet des paramètres, des retards et de la nature des chocs et procède ensuite à des évaluations quantitatives de la nouvelle règle. L’auteur montre en particulier que, si le degré de persistance de l’inflation dans la courbe de Phillips n’est pas élevé, une règle simple telle que la règle initiale de Taylor — où la politique monétaire contrecarre l’effet des chocs de demande mais réagit relativement peu aux chocs d’inflation — pourrait servir de modèle de référence pour la conduite de cette politique. À l’inverse, il pourrait être difficile de trouver une règle à la Taylor pouvant jouer ce rôle si l’inflation est très persistante. Classification JEL : E52 Classification de la Banque : Incertitude et politique monétaire

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تاریخ انتشار 2000