文档介绍：Journal of ary Economics 49 (2002) 989–1015
ary policy rules in the open economy:
effects on welfare and business cycles$
Robert Kollmanna,b,*
a Department of Economics, University of Bonn, 24-42 Adenauerallee, D-53113 Bonn, Germany
b Centre for Economic Policy Research, UK
Received 16 November 2001; received in revised form 4 March 2002; accepted 5 March 2002
Abstract
This putes welfare maximizing Taylor-style interest rate rules, in a business cycle
model of a small open economy. The model assumes staggered price setting and shocks to
domestic productivity, to the world interest rate, to world inflation, and to the uncovered
interest rate parity condition. Optimized policy rules have a pronounced anti-inflation stance
and entail significant nominal and real exchange rate volatility. The country responds to an
increase in external volatility by holding more foreign assets. The policy rule affects the
variance and the mean of consumption. The effect on the mean matters significantly for
welfare. r 2002 Elsevier Science . All rights reserved.
JEL classification: E4; F3; F4
Keywords: Open economy; Interest rate rules; Business cycles
$This paper was prepared for the November 2001 Carnegie-Rochester Conference on Public Policy. I
thank Ben McCallum for encouragement and advice, and Andy Levin and other conference participants
for ments. I am grateful to Jinill Kim, Stephanie Schmitt-Grohe,! and Chris Sims, for
discussions/advice putational issues. Thanks for helpful discussions are also due to Gianluca
Benigno, Pierpaolo Benigno, Paul Bergin, Luca Dedola, Chris Erceg, Mark Gertler, Soyoung Kim,
Sylvain Leduc, Tommaso Monacelli, Ed Nelson, Paolo Pesenti, Frank Smets, Pedro Teles, Harald Uhlig,
Mart!ın Uribe, Michael Woodford, and Raf Wouters, as well as to seminar participants at the North
American Winter Meetings of the Econometric Society.
*Corresponding author. Tel.: +49-228-734073; fax: +49-228-739100.
E-mail address: ******@wiwi