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Testing for optimal monetary policy via moment inequalities
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Coroneo, Laura, Corradi, Valentina and Santos Monteiro, Paul (2012) Testing for optimal monetary policy via moment inequalities. Working Paper. Coventry: Department of Economics, University of Warwick. The Warwick Economics Research Paper Series (TWERPS) (Number 985). (Unpublished)
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Text (Working paper)
WRAP_Monteiro_twerp_985.pdf - Other Download (647Kb) | Preview |
Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime, commonly commitment or discretion. In this paper we propose a new procedure for testing optimal monetary policy, relying on moment inequalities that nest
commitment and discretion as two special cases. The approach is based on the derivation of bounds for in
ation that are consistent with optimal policy under either policy regime. We derive testable implications that allow for specification tests and discrimination between the
two alternative regimes. The proposed procedure is implemented to examine the conduct of monetary policy in the United States economy.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Alternative Title: | |||||
Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Monetary policy -- Mathematical models, Inequalities (Mathematics) | ||||
Series Name: | The Warwick Economics Research Paper Series (TWERPS) | ||||
Publisher: | Department of Economics, University of Warwick | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2012 | ||||
Dates: |
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Number: | Number 985 | ||||
Number of Pages: | 34 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Unpublished | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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