Comment on 'Three Types of Ambiguity' by Lars Hansen and Thomas Sargent

摘要

Optimal policymaking is typically formulated as a dynamic mechanism design problem in a Bayesian environment. Hansen and Sargent study dynamic monetary policy design in a setting where the Bayesian approach is replaced by one that incorporates concerns for robustness against model misspecification. More precisely, they analyze Ramsey policy under three different robustness configurations, each associated with a different type of ambiguity the Ramsey planner might have. In all three models, it is the policymaker who has a concern for robustness. In Model I, the policymaker has no confidence in his beliefs about the shocks that perturb the underlying economy or in his beliefs about the beliefs of agents, which are taken to be correct.