English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

Based on three versions of a small macroeconomic model for Brazil, this paper presents empirical evidence on the effects of parameter uncertainty on monetary policy rules and on the robustness of optimal and simple rules over different model specifications. By comparing the optimal policy rule under parameter uncertainty with the rule calculated under purely additive uncertainty, we find that parameter uncertainty should make policymakers react less aggressively to the economy’s state variables, as suggested by Brainard’s “conservatism principle”, although this effect seems to be relatively small. We then informally investigate each rule’s robustness by analyzing the performance of policy rules derived from each model under each one of the alternative models. We find that optimal rules derived from each model perform very poorly under alternative models, whereas a simple Taylor rule is relatively robust. We also find that even within a specific model, the Taylor rule may perform better than the optimal rule under particularly unfavorable realizations from the policymaker’s loss distribution function. Este texto analisa a robustez e as propriedades de estabilizacao de regras de politica monetaria no contexto de um pequeno modelo macroeconometrico para o Brasil. Estimam-se tres versoes do modelo “padrao” da literatura recente sobre regras de politica monetaria. Em cada caso, a regra otima de politica e calculada sob incerteza puramente aditiva e sob incerteza multiplicativa. Observa-se que a incerteza sobre os parâmetros do modelo atenua os coeficientes da funcao de reacao otima das autoridades, conforme sugerido pelo “principio do conservadorismo” de Brainard — ainda que esse efeito seja relativamente pequeno. A robustez das regras de politica e investigada informalmente por intermedio da analise do desempenho da regra otima de cada modelo no contexto de cada um dos modelos alternativos. Os resultados mostram que as regras otimas derivadas de um modelo especifico tendem a apresentar desempenho muito fraco sob os demais modelos, em contraste com uma regra de Taylor simples, que se revela relativamente robusta. Finalmente, mostra-se que, mesmo no contexto de um modelo especifico, a regra de Taylor pode ter desempenho superior a regra otima, sob realizacoes particularmente desfavoraveis da distribuicao de probabilidade da funcao de perda das autoridades.

Robustness and Stabilization Properties of Monetary Policy Rules in Brazil