Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions

Journal of Economic Dynamics and Control, Vol. 28, pp. 2367-2397, 2004

Stockholm School of Economics Working Paper No. 499

38 Pages Posted: 22 Jul 2002 Last revised: 15 Jun 2013

See all articles by Paolo Giordani

Paolo Giordani

Norwegian Business School

Paul Söderlind

University of St. Gallen; Centre for Economic Policy Research (CEPR); University of St. Gallen - School of Finance

Date Written: May 2, 2002

Abstract

We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretionary and simple rule policies. Matlab and Gauss software is provided. Applications to the term structure of interest rates and to the time inconsistency of optimal monetary policy illustrate these extensions.

Keywords: robustness, model uncertainty, Schur decomposition, discretion, simple rules

JEL Classification: L61, E43, E52

Suggested Citation

Giordani, Paolo and Söderlind, Paul, Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions (May 2, 2002). Journal of Economic Dynamics and Control, Vol. 28, pp. 2367-2397, 2004, Stockholm School of Economics Working Paper No. 499, Available at SSRN: https://ssrn.com/abstract=317659 or http://dx.doi.org/10.2139/ssrn.317659

Paolo Giordani (Contact Author)

Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Paul Söderlind

University of St. Gallen ( email )

Rosenbergstrasse 52
St. Gallen, 9000
Switzerland
+41 71 224 7064 (Phone)
+41 71 224 7088 (Fax)

HOME PAGE: http://https://sites.google.com/site/paulsoderlindecon/home

Centre for Economic Policy Research (CEPR)

London
United Kingdom

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

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