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Real-Time Model Uncertainty In The United States: 'Robust' policies put to the test

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Executive Summary

The author studies 46 vintages of FRB/US, the principal macro model used by Federal Re-serve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty, also the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules and first document that model uncertainty poses substantial challenges for policymakers in that key model properties differ in important ways across model vintages and also shows that the parameterization of optimized simple policy rule-rules that are intended to be robust with respect to model uncertainty-also differ substantially across model vintages.

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