JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2024, Vol. 59 ›› Issue (1): 11-16.doi: 10.6040/j.issn.1671-9352.0.2023.148

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Optimal monetary policy with a zero lower bound on the nominal interest rate under a continuous-time framework

Haodong LIU(),Chi ZHANG   

  1. School of Economics, Ocean University of China, Qingdao 266100, Shandong, China
  • Received:2023-04-12 Online:2024-01-20 Published:2024-01-19

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Abstract:

In this paper, we give the continuous time version of the New Keynesian model, which is a backward stochastic differential system and translate the optimal monetary policy problem into a stochastic optimal control problem under control constraints. By using the maximum principle for the control system, we obtain the necessary condition for the optimal monetary policy. Also we give the expression of the optimal monetary policy.

Key words: backward stochastic differential equation, stochastic optimal control, monetary policy

CLC Number: 

  • O231.3
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