BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Kłos Bohdan
Tytuł
Niepewność modelu w polityce makroekonomicznej : Zasada odporności. Część 2
Model uncertainty in macroeconomic policy. The principle of robustness. Part II
Źródło
Bank i Kredyt, 2004, nr 11-12, s. 35-42, bibliogr. 39 poz.
Słowa kluczowe
Polityka makroekonomiczna, Niepewność w decyzjach gospodarczych, Model polityki gospodarczej
Macroeconomic policy, Uncertainty in economic decisions, Economic policy model
Uwagi
summ.
Abstrakt
Zwrócono uwagę na ograniczoność źródeł dostarczających informacje na temat praktyki podejmowania decyzji. Instytucje prowadzące politykę makroekonomiczną oszczędnie informują o stosowanych technikach, metodach, modelach. Przedstawiono kilka uwag dotyczących praktyki przygotowywania decyzji dotyczących polityki makroekonomicznej oraz sposobów uwzględniania niepewności.

The paper discusses the theory and practice of optimal decision-making, i.e. the choice of a macroeconomic policy in the circumstances of uncertainty. The first part of the text contains an overview of literature. The characteristic feature of all the quoted cases is the integration of two aspects: the macroeconomic (model of economy) and the theory-based decision-making one. The classical model of economic policy is reviewed, where the components of the model of economy (distortion, parameters, data) are considered to be uncertain (random) and optimal decisions are taken in accordance with the principle of equivalence, Brainard's principle of conservatism, etc. Doubts about the model components lead to questioning of the whole economy model. Therefore, different ways to deal with the model uncertainty are presented: the principles of robustness by Levin, Williams and Wieland and a comprehensively Bayesian approach to the process of decision-making. Where uncertainty cannot be quantified by the probability distribution (as, in Knight's understanding, it is an uncertainty, not a risk), techniques based on the minimax function of the goal are proposed. In this group of cases, the robust control theory by Hansen and Sargent is described in more detail. The second part presents methods applied in practice. The author draws from academic research, opinions of practitioners and decision-makers, as well as unofficial information from analysts of central banks. It may be observed that where theoreticians suggest refined, one-stage techniques referring to the uniform model of economic policy, practitioners prefer multi-stage procedures based on intuition and expertise. Simultaneous operation of multiple models, development of variant projections, designing pie charts to describe subjective risk and defining ranges of policy objectives have become virtually standard procedures. Thus a gap between the theory and practice is clearly visible. However, the size
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Bibliografia
Pokaż
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  2. M. Blix, P. Sellin (1998): Uncertainty Bands for Inflation Forecasts. Sveriges Riksbank.
  3. W. Brock, S. Durlaf, K. West (2003): Policy Evaluation in Uncertain Economic Environment. Brookings Papers of Economic Activity
  4. E. Britton, A. Cunningham, P. Whitley (1998): The Inflation Report Project. Understanding the Fan Chart. "Bank of England Quarterly Bulletin".
  5. M.P. Clements, D.F. Hendry (2000): Explaining Forecast Failure in Macroeconomics. Department of Economics, University of Warwick, Nuffield College, Oxford, 2000.
  6. T. Cogley, T. Sargent (2004): The Conquest of U.S. Inflation: Learning, Model Uncertainty, and Robustness. University of California, Davis, New York University, Hoover Institution, rękopis.
  7. D. Coleti, S. Murchison (2002): Models in Policy Making. "Bank of Canada Review".
  8. D. Cote, J. Kuszczak, J-P. Lam, Y.Liu, P.St-Amant (2002): The Performance and Robustness of Simple Monetary Policy Rules. Bank of Canada.
  9. EBC (2001): EEC Guide to Eurosystem Staff Macroeconomic Projection Exercises.
  10. M. Feldstein (2003): Monetary Policy in an Uncertain Economy. NBER Working Paper 9969.
  11. P. Fisher (1992): Rational Expectations in Macroeconomic Models. Kluwer Academic Press.
  12. V. Caspar (2003): Some Notes on the Conduct of Monetary Policy under Uncertainty. Symposium on Monetary Policy under Uncertainty: Adapting to a Changing Economy. Federal Reserve Bank of Kansas City, Jackson Hole, 28-30 sierpnia 2003 r. Wyoming.
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  15. S. Hall, Ch. Salmon, T. Yates, N. Batini (1999): Uncertainty and Simple Monetary Policy Rules: an Illustration for the United Kingdom. Bank of England.
  16. D.F. Hendry (2001): Economic Forecasting: some Lessons from Recent Research. EEC, Working Paper no. 82 October 2001.
  17. P. Jenkins, D. Longworth (2002): Monetary Policy and Uncertainty. Bank of Canada Review, Summer.
  18. M. King (1999): Challenges for Monetary Policy. New and Old. Referat wygłoszony na konferencji w Jackson Hole, 27 sierpnia 1999 r. (http://www.bankofengland.uk).
  19. M. King (2004): Comments on 'Risk and Uncertainty in Monetary Policy' by Alan Greenspan. AEA Annual conference, styczeń 2004 r. San Diego (http://www.bankofengland.uk).
  20. S. Kozicki (1999): How Useful are Taylor Rules for Monetary Policy? Federal Reserve Bank of Cancans City Economic Review 2.
  21. R. Kokszczyński (2004): Współczesna polityka pieniężna w Polsce. PWE.
  22. F.E. Kydland, E.G. Prescott (1977): Rules Rather then Discretion: The Inconsistency of Optimal Plans. "Journal of Political Economy", 85.
  23. D. Laxton, A. Scott (2000): On Developing a Structured Forecasting and Policy Analyses System Designed to Support Inflation-Forecasting Targeting. IMF, rękopis.
  24. A.T. Levin, J.C. Williams, V. Wieland (1999): Robustness of Simple Monetary Policy Rules under Model Uncertainty. W: J. Taylor (red.) (1999): Monetary Policy Rules. NBER, Chicago.
  25. A.T. Levin, J.C. Williams, V. Wieland (2001): The Performance of Forecast-Based Monetary Policy Rules under Model Uncertainty. Board of Governors FED.
  26. A.T. Levin, J.C. Williams (2003): Robust Monetary Policy with Competing Reference Models. "Journal of Monetary Economics" 50.
  27. H.L. Meyer (1997): The Role for Structural Macromodels. (http://www.federalreserve.gov).
  28. H.L. Meyer (2002): Rules and Discretions, (http://www.federalreserve.gov).
  29. K. Nikolov (2002): Monetary Policy Rules at the Bank of England. Materiał zaprezentowany w trakcie warsztatów The Role of Policy Rules in the Conduct of Monetary Policy. Frankfurt marzec 2002 EEC.
  30. D. Önkal-Atay, M.E. Thompson, A.C. Pollock: Judgmental Forecasting. W: M.P. Clements, D. Hendry (red.) (2002): A Companion to Economic Forecasting. Blackwell.
  31. A. Orphanides, V. Wieland (2000): Inflation Zone Targeting. "European Economic Review", 44.
  32. A. Pagan, J. Robertson (2002): Forecasting for Policy. W: M.P. Clements, D.F. Hendry (red.): A Companion to Economic Forecasting. Blackwell.
  33. A. Pagan (2003): Report on Modelling and Forecasting at the Bank of England. Bank of England.
  34. Ch. A. Sims (1988): Uncertainty in Macroeconomics. Uncertainty Across Models. "The American Economic Review", 78.
  35. Ch. A. Sims (2002): The Role of Models and Probabilities in the Monetary Policy Process. Brooking Panel of Economic Activity, Princeton.
  36. L.E.O. Svensson (2001): Independent Review of the Operation of Monetary Policy in New Zealand: Report to the Minister of Finance (http://www.princeton.edu/~svensson).
  37. L.E.O. Svensson, K. Houg, A. Berg, H. Solheim, E. Steigum (2002): An Independent Review of Monetary Policy and Institutions in Norway. Centre for Monetary Economics, Norges Bank Watch.
  38. B.J. Taylor (1993): Discretion versus policy rules in practice. Carnegie-Rochester Series on Public Policy, 39.
  39. J. Vickers (1999): Economic Models and Monetary policy. Speech to Governors of the National Institute of Economic and Social Research. 18 marca 1999 r.
  40. A. Wojtyna (2003): W poszukiwaniu optymalnej reguły polityki pieniężnej. "Studia Ekonomiczne", 1-2.
  41. T.R. Woodword, R.C. Bishop (1997): How to Decide when Experts Disagree. Uncertainty-Based Choice Rules in Environmental Policy. "Land Economics" 73, 4.
Cytowane przez
Pokaż
ISSN
0137-5520
Język
pol
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