


Programs to Compute and Analyze Optimal Policy Under UncertaintyIncluded on this page is a zipped directory that includes Matlab files to compute and analyze optimal policy in forwardlooking Markov Jump Linear Quadratic Models by implementing the optimal policy algorithms from the paper: "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting" (DFT) May 2007 version Programs by Satoru Shimizu, Lars E.O. Svensson, and Noah Williams The main programs are opt_policy.m and impul_res.m which compute optimal policy and the simulated distribution of impulse responses under the optimal policy. They require that a user define a model as a structured variable consisting of a collection of matrices. Given a specification of appropriate matrices, set_up_model.m defines the structured variable appropriately. Two examples of how to use the programs to reproduce the results in the DFT paper are given in the following:These programs also provide much more detail on the setup and structure of the models and algorithms. In a bit more detail, the other files consist of the following:Also included are two utility files from Lars Peter Hansen and Thomas J. Sargent that accompany their monograph Recursive Models of Dynamic Linear Economies (see http://homepages.nyu.edu/~ts43/BOOKS/books.htm): 