چکیده:
there is always uncertainty about the soundness of an economic model’s structure and parameters. Therefore, central banks normally face with uncertainty about the key economic explanatory relationships. So, policymaker should take into account the uncertainty in formulating monetary policies. The present study is aimed to examine robust optimal monetary policy under uncertainty, by a cost-push shock to the Iran’s economy. For this purpose, three new-Keynesian Phillips curve equations are used, and robust discretionary optimal monetary policy is formulated by employing Hansen and Sargent robust control approach (2002). In all three curve equations, robust discretionary monetary policy is more aggressive comparing to the rational expectations. Considering the last period inflation rate in New- Keynesian Phillips curve, the degree of aggressiveness of robust monetary policy reduces, and with reducing the weight of the last period inflation rate, more reduction in the degree of aggressiveness of monetary policy is observed. On one hand, in all three models, with increasing the weight of inflation in the loss function of monetary policymakers, robust monetary policy is still more aggressive than the monetary policy under certainty. On the other hand, the degree of aggressiveness of monetary policy decreases, while the expected loss increases.
خلاصه ماشینی:
"The present study is aimed to examine robust optimal monetary policy under uncertainty, by a cost-push shock to the Iran’s economy.
In his research, in order to study the parameter uncertainty effects on monetary policy, Giannoni (2002) formed a robust min-max optimization which was applied with a simple rule.
In Hansen and Sargent approach, the purpose of robust planners, similar to the model of rational expectations, is minimizing the loss function with respect to the law of motion of the economy (approximation model).
Giannoni (2002) generally suggested a method based on the features of zero-sum game between the two players to derive robust optimal monetary policy rule in circumstances, where there were uncertainty about the parameters of the model.
In his study, Traficante (2013) obtained the optimal robust monetary policy in a new-Keynesian model with uncertainty about price rigidity and the cost-push shocks correlation.
As it was already mentioned, in the approach of Hansen and Sargent, the objective of robust planner, similar to the mode of rational expectations, is minimizing the loss function based on the law of motion of the economy (approximation model).
1 Inflation Figure 3: The Impulse Response Functions of Output Gap and Inflation Variables to the Cost-Push Shock in the Model 3 As is clear in Table 2, with the presence of last period inflation on the Phillips curve, and with reduction in the weight of past inflation compared to the future inflation in this equation, the degree of aggressiveness of robust monetary policy declines."