Real‐Time Model Uncertainty in the United States: The Fed, 1996–2003
研究美联储1996至2003年间30个版本的FRB/US模型，发现模型特性变化大且影响显著，最优泰勒规则对模型不确定性敏感，简单规则的稳健性结论可能过于乐观。
We study 30 vintages of FRB/US, the principal macro‐model used by the Federal Reserve Board staff for forecasting and policy analysis. We document the surprisingly large and consequential changes in model properties that occurred during the period from July 1996 to November 2003 and compute optimal Taylor‐type rules for each vintage. Model uncertainty is shown to be a substantial problem; the efficacy of purportedly optimal policy rules should not be taken on faith. We also find that previous findings that simple rules are robust to model uncertainty may be an overly sanguine conclusion.