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
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: Suggested Citation
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