Most of the literature estimating DSGE models for monetary policy analysis assume that policy follows a simple rule. In this paper we allow policy to be described by various forms of optimal policy-commitment, discretion and quasi-commitment. We find that, even after allowing for Markov switching in shock variances, the inflation target and/or rule… (More)
In this paper we study the degree of precommitment that is required to eliminate multiplic-ity of policy equilibria, which arise if the policy maker acts under pure discretion. We apply a framework developed by Schaumburg and Tambalotti (2007) and Debortoli and Nunes (2010) to a standard New Keynesian model with government debt. We demonstrate the existence… (More)
Numerical methods for weak solution of wave equation with van der Pol type nonlinear boundary conditions, Numerical Methods for Partial Differential Equations, 2015. A leapfrog semi-smooth Newton multigrid method for semilinear parabolic optimal control problems, Computational Optimization and Applications (A new semi-smooth Newton multigrid method for… (More)
1 We would like to thank the Editor and two anonymous referees for their helpful and constructive comments on a previous draft of this paper. Abstract This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro-Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The… (More)
This work develops a new framework for a class of stochastic control problems with optimal stopping. One of our main motivations stems from dealing with the option pricing of American type. The value function is characterized as the unique solution of a partial differential equation in a Sobolev space. Together with certain regularities and estimates of the… (More)
We estimate a New Keynesian DSGE model for the Euro area which allows for alternative descriptions of monetary policy (discretion, commitment, quasi-commitment or a simple rule) after allowing for Markov switching in policy maker preferences and/or shock volatilities. This reveals that there have been several changes in Euro area policy making, with a… (More)
This paper uses the multivariate unobserved components model with phase shifts to analyse the interaction of interest rates, output, asset prices and credit in the US. We find close linkages amongst cyclical fluctuations in the variables. Tsoukalas for their helpful comments and suggestions. Any remaining errors are sole responsibility of the authors.