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Anticipated Alternative Policy Rate Paths in Policy Simulations
Sveriges Riksbank.
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
2011 (English)In: The International Journal of Central Banking, ISSN 1815-4654, E-ISSN 1815-7556, Vol. 7, no 3, 1-35 p.Article in journal (Refereed) Published
Abstract [en]

This paper specifies a new convenient algorithm to construct policy projections conditional on alternative anticipated policy rate paths in linearized dynamic stochastic general equilibrium (DSGE) models, such as Ramses, the Riksbank's main DSGE model. Such projections with anticipated policy rate paths correspond to situations where the central bank transparently announces that it, conditional on current information, plans to implement a particular policy rate path and where this announced plan for the policy rate is believed and then anticipated by the private sector. The main idea of the algorithm is to include among the predetermined variables (the "state" of the economy) the vector of non-zero means of future shocks to a given policy rule that is required to satisfy the given anticipated policy rate path.

Place, publisher, year, edition, pages
2011. Vol. 7, no 3, 1-35 p.
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-62549ISI: 000297786900001OAI: oai:DiVA.org:su-62549DiVA: diva2:442831
Available from: 2011-09-22 Created: 2011-09-22 Last updated: 2017-12-08Bibliographically approved

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