Monetary policy under uncertainty: historical origins, theoretical foundations, and empirical evidence

Oliver Sauter analyzes three aspects of monetary policy under uncertainty. First he shows that the terms risk and uncertainty are often wrongly used as synonyms despite their different meanings. The second aspect is the proper examination and incorporation of uncertainty into a monetary policy frame... Ausführliche Beschreibung

1. Person: Sauter, Oliver
Format: Buch
Sprache: English
Veröffentlicht: Wiesbaden Springer Gabler 2014
Beschreibung: XII, 220 S. graph. Darst.
Serien: Research
Schlagworte (SWD): Geldpolitik
Schlagworte (STW): Geldpolitik
Entscheidung bei Unsicherheit
Theorie
Staatliche Information
Eurozone
USA
Schlagworte (SH): Economics
Economic policy
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520 |a Oliver Sauter analyzes three aspects of monetary policy under uncertainty. First he shows that the terms risk and uncertainty are often wrongly used as synonyms despite their different meanings. The second aspect is the proper examination and incorporation of uncertainty into a monetary policy framework. The author undertakes a systematization with a closer look at each identified form of uncertainty. Thirdly, he focuses on the quantification of uncertainty from two different perspectives, either from a market perspective or from a central bank perspective. 
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992 |a IMAGE 1 CONTENTS LIST OF FIGURES XI LIST OF TABLES XIII INTRODUCTION 1 BACKGROUND 1 PLAN OF THE BOOK 3 I. HISTORICAL ORIGINS OF UNCERTAINTY IN ECONOMIC THEORY 7 1. CONCEPTS OF UNCERTAINTY IN ECONOMIC LITERATURE 9 1.1. BACKGROUND 9 1.2. KEYNES' BPISTEMIC VIEW OF PROBABILITY AND UNCERTAINTY 12 1.2.1. OBTAINING KNOWLEDGE AND PROCESSING A RATIONAL BELIEF 12 1.2.2. UNCERTAINTY 16 1.2.3. WEIGHT OF ARGUMENT 18 1.3. KNIGHT'S ALEATORY VIEW 21 1.3.1. THREE TYPES OF PROBABILITY 21 1.3.2. UNCERTAINTY 23 1.4. FURTHER CONCEPTS OF UNCERTAINTY 26 1.4.1. DAVIDSON'S TRUE UNCERTAINTY 26 1.4.2. SHACKEL'S TRUE UNCERTAINTY 28 1.4.3. ELLSBERG'S AMBIGUITY 29 1.5. TAXONOMY AND SUMMARY 31 II. THEORETICAL FOUNDATIONS OF MONETARY POLICY UNDER UNCER TAINTY 37 2. EFFECTS OF UNCERTAINTY ON THE POLICY DESIGN 39 HTTP://D-NB.INFO/1046743678 IMAGE 2 VIII CONTENTS 2.1. FROM UNCERTAINTY TO UNCERTAINTY 39 2.2. ADDITIVE UNCERTAINTY AND CERTAINTY EQUIVALENCE 45 2.2.1. THE CONCEPT OF CERTAINTY EQUIVALENCE 46 2.2.2. ADDITIVE UNCERTAINTY: THE POOLC-MODCL 48 2.3. PARAMETRIC UNCERTAINTY: THE BRAINARD EXAMPLE 54 2.4. DATA UNCERTAINTY: THE USE OF THE OPTIMAL ESTIMATE 62 2.4.1. DATA REVISIONS: REAL-TIME AND FINAL ESTIMATES 62 2.4.2. IMPERFECT OBSERVATION VS. SIGNAL EXTRACTION 65 2.5. A FURTHER NOTE ON CERTAINTY EQUIVALENCE 69 2.5.1. CERTAINTY EQUIVALENCE IN RISK THEORY 69 2.5.2. PARAMETRIC UNCERTAINTY AND CERTAINTY EQUIVALENCE 71 2.5.3. DATA UNCERTAINTY AND CERTAINTY EQUIVALENCE 75 2.6. INTEREST RATE SMOOTHING DUE TO UNCERTAINTY 79 3. IMPLEMENTING UNCERTAINTY INTO MONETARY MODELS 83 3.1. THE BENCHMARK MODEL 83 3.1.1. BASICS OF THE NEW KCYNCSIAN BENCHMARK MODEL 83 3.1.2. OPTIMAL POLICY SOLUTIONS 87 3.1.3. UNCERTAINTY IN THE NEW KEYNCSIAN MODEL 97 3.2. STATE SPACE REPRESENTATION 102 3.2.1. OPTIMAL POLICY 106 3.2.2. IMPLEMENTING UNCERTAINTY: A COMPACT APPROACH 110 3.3. MODEL UNCERTAINTY 115 3.3.1. MEASURING MISSPECIFICATIONS WITH THE CONCEPT OF ENTROPY 116 
992 |a 3.3.2. ESCAPING MODEL UNCERTAINTY BY ROBUST CONTROL 119 3.3.3. COMPARISON OF DIFFERENT EQUILIBRIUM PATHS 126 3.3.4. MARKOV-SWITCHING AND MODEL UNCERTAINTY 130 3.4. SUMMARY OF CHAPTER 2 AND 3 140 III.EMPIRICAL INVESTIGATIONS ON UNCERTAINTY 143 4. ASSESSING UNCERTAINTY IN THE EURO AREA AND THE USA 145 4.1. INTRODUCTION 145 4.2. EMPIRICAL EVIDENCE OF UNCERTAINTY MEASURES 147 4.2.1. MEASURING UNCERTAINTY VIA SURVEYS 147 4.2.2. SURVEY OF PROFESSIONAL FORECASTER DATA 148 4.2.3. MEASURING UNCERTAINTY VIA STOCK MARKET VOLATILITY 154 IMAGE 3 CONTENTS IX 4.2.4. STOCK MARKET DATA 155 4.3. FACTOR ANALYSIS OF EMPIRICAL DATA 158 4.3.1. FACTOR ANALYSIS OF EUROPEAN DATA 158 4.3.2. FACTOR ANALYSIS OF US DATA 161 4.3.3. COMBINED FACTOR ANALYSIS OF US AND EUROPEAN DATA 165 4.4. SUMMARY OF CHAPTER 4 169 4.A. APPENDIX: CCNCRAL INTRODUCTION TO THE METHOD 170 5. COMMUNICATED UNCERTAINTY OF THE ECB 177 5.1. INTRODUCTION 177 5.2. THE IMPORTANCE OF CENTRAL BANK COMMUNICATION 178 5.3. TRADITIONAL MEASURES OF UNCERTAINTY 180 5.4. SENTIMENT ANALYSIS: TALKING BY NUMBERS 181 5.4.1. LITERATURE 181 5.4.2. THEORETICAL UNDERPINNING 183 5.5. SENTIMENT ANALYSIS: EMPIRICS 184 5.5.1. DATA & METHODOLOGY 184 5.5.2. DESCRIPTIVE FINDINGS 186 5.5.3. MARKOV-SWITCH ANALYSIS 192 5.6. SUMMARY OF CHAPTER 5 196 CONCLUSION AND OUTLOOK 199 BIBLIOGRAPHY 205 

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