[Robust Control and Model Uncertainty], Belirsizlik Modeli ve Sağlamlılık Kontrolü

Belirsizlik Modelive Sağlamlılık Kontrol

Aversion to ambiguity and model misspecification in dynamic stochastic environments

Preferences that accommodate aversion to subjective uncertainty and its potential misspecification in dynamic settings are a valuable tool of analysis in many disciplines. By generalizing previous analyses, we propose a tractable approach to incorporating broadly conceived responses to uncertainty. We illustrate our approach on some stylized stochastic environments. By design, these discrete time environments have revealing continuous time limits. Drawing on these illustrations, we construct recursive representations of intertemporal preferences that allow for penalized and smooth ambiguity aversion to subjective uncertainty. These recursive representations imply continuous time limiting Hamilton–Jacobi–Bellman equations for solving control problems in the presence of uncertainty.Published versio

Managing and communicating risk and uncertainty in macroeconomic policymaking

In policymaking, as in life, we often must make decisions without knowing how the future will play out. Taking uncertainty into account when making macroeconomic policy allows policymakers to help improve economic outcomes. This article considers three aspects of improving outcomes for fiscal and monetary policymaking: considering risk and uncertainty in decision-making; communicating risk and uncertainty; and designing better tools to communicate risk