Author: Tom D. Holden
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Policy makers would like to prevent self-fulfilling fluctuations. Given the prevalence of occasionally binding constraints (OBCs) such as the zero lower bound (ZLB), this requires understanding the determinacy of models with OBCs. To this end, we derive existence and uniqueness conditions for otherwise linear models with OBCs. Our main result gives necessary and sufficient conditions for such a model to have a unique perfect foresight solution returning to a given steady state, for any initial condition. We show that while standard New Keynesian models with a ZLB possess multiple perfect-foresight paths eventually escaping the ZLB, price level targeting restores determinacy.
Author: Tom D. Holden
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Tom D. Holden
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ramon Marimon
Publisher: OUP Oxford
ISBN: 0191522392
Category : Business & Economics
Languages : en
Pages : 298
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Book Description
Macroeconomics increasingly uses stochastic dynamic general equilibrium models to understand theoretical and policy issues. Unless very strong assumptions are made, understanding the properties of particular models requires solving the model using a computer. This volume brings together leading contributors in the field who explain in detail how to implement the computational techniques needed to solve dynamic economics models. A broad spread of techniques are covered, and their application in a wide range of subjects discussed. The book provides the basics of a toolkit which researchers and graduate students can use to solve and analyse their own theoretical models.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
'This practical review assesses several approaches to solving medium- and large-scale dynamic stochastic general equilibrium (DSGE) models featuring occasionally binding constraints. In such models, global solution methods are not possible because of the curse of dimensionality. This causes the modeller to look elsewhere for methods that can handle the significant non-linearities and non-differentiable functions that inequality constraints represent. The paper discusses methods-including Newton-type solvers under perfect foresight, the piecewise linear algorithm (OccBin), regime-switching models (RISE) and the news shocks approach (DynareOBC) - and compares the results from a simple borrowing constraints model obtained using projection methods, providing example MATLAB code. The study focuses on the news shocks method, which I find produces higher accuracy than other methods and allows the modeller to study multiple equilibria and determinacy issues'--Abstract, page ii.
Author: Morton I. Kamien
Publisher: Courier Corporation
ISBN: 0486310280
Category : Mathematics
Languages : en
Pages : 402
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Book Description
Since its initial publication, this text has defined courses in dynamic optimization taught to economics and management science students. The two-part treatment covers the calculus of variations and optimal control. 1998 edition.
Author: Jacob Engwerda
Publisher: John Wiley & Sons
ISBN: 9780470015247
Category : Business & Economics
Languages : en
Pages : 514
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Book Description
Game theory is the theory of social situations, and the majority of research into the topic focuses on how groups of people interact by developing formulas and algorithms to identify optimal strategies and to predict the outcome of interactions. Only fifty years old, it has already revolutionized economics and finance, and is spreading rapidly to a wide variety of fields. LQ Dynamic Optimization and Differential Games is an assessment of the state of the art in its field and the first modern book on linear-quadratic game theory, one of the most commonly used tools for modelling and analysing strategic decision making problems in economics and management. Linear quadratic dynamic models have a long tradition in economics, operations research and control engineering; and the author begins by describing the one-decision maker LQ dynamic optimization problem before introducing LQ differential games. Covers cooperative and non-cooperative scenarios, and treats the standard information structures (open-loop and feedback). Includes real-life economic examples to illustrate theoretical concepts and results. Presents problem formulations and sound mathematical problem analysis. Includes exercises and solutions, enabling use for self-study or as a course text. Supported by a website featuring solutions to exercises, further examples and computer code for numerical examples. LQ Dynamic Optimization and Differential Games offers a comprehensive introduction to the theory and practice of this extensively used class of economic models, and will appeal to applied mathematicians and econometricians as well as researchers and senior undergraduate/graduate students in economics, mathematics, engineering and management science.
Author: Stephen Boyd
Publisher: Cambridge University Press
ISBN: 1316518965
Category : Business & Economics
Languages : en
Pages : 477
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Book Description
A groundbreaking introduction to vectors, matrices, and least squares for engineering applications, offering a wealth of practical examples.
Author: Thomas A. Weber
Publisher: MIT Press
ISBN: 0262015730
Category : Business & Economics
Languages : en
Pages : 387
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Book Description
A rigorous introduction to optimal control theory, with an emphasis on applications in economics. This book bridges optimal control theory and economics, discussing ordinary differential equations, optimal control, game theory, and mechanism design in one volume. Technically rigorous and largely self-contained, it provides an introduction to the use of optimal control theory for deterministic continuous-time systems in economics. The theory of ordinary differential equations (ODEs) is the backbone of the theory developed in the book, and chapter 2 offers a detailed review of basic concepts in the theory of ODEs, including the solution of systems of linear ODEs, state-space analysis, potential functions, and stability analysis. Following this, the book covers the main results of optimal control theory, in particular necessary and sufficient optimality conditions; game theory, with an emphasis on differential games; and the application of control-theoretic concepts to the design of economic mechanisms. Appendixes provide a mathematical review and full solutions to all end-of-chapter problems. The material is presented at three levels: single-person decision making; games, in which a group of decision makers interact strategically; and mechanism design, which is concerned with a designer's creation of an environment in which players interact to maximize the designer's objective. The book focuses on applications; the problems are an integral part of the text. It is intended for use as a textbook or reference for graduate students, teachers, and researchers interested in applications of control theory beyond its classical use in economic growth. The book will also appeal to readers interested in a modeling approach to certain practical problems involving dynamic continuous-time models.
Author: Paul R. Thie
Publisher: John Wiley & Sons
ISBN: 1118165454
Category : Mathematics
Languages : en
Pages : 476
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Book Description
Praise for the Second Edition: "This is quite a well-done book: very tightly organized, better-than-average exposition, and numerous examples, illustrations, and applications." —Mathematical Reviews of the American Mathematical Society An Introduction to Linear Programming and Game Theory, Third Edition presents a rigorous, yet accessible, introduction to the theoretical concepts and computational techniques of linear programming and game theory. Now with more extensive modeling exercises and detailed integer programming examples, this book uniquely illustrates how mathematics can be used in real-world applications in the social, life, and managerial sciences, providing readers with the opportunity to develop and apply their analytical abilities when solving realistic problems. This Third Edition addresses various new topics and improvements in the field of mathematical programming, and it also presents two software programs, LP Assistant and the Solver add-in for Microsoft Office Excel, for solving linear programming problems. LP Assistant, developed by coauthor Gerard Keough, allows readers to perform the basic steps of the algorithms provided in the book and is freely available via the book's related Web site. The use of the sensitivity analysis report and integer programming algorithm from the Solver add-in for Microsoft Office Excel is introduced so readers can solve the book's linear and integer programming problems. A detailed appendix contains instructions for the use of both applications. Additional features of the Third Edition include: A discussion of sensitivity analysis for the two-variable problem, along with new examples demonstrating integer programming, non-linear programming, and make vs. buy models Revised proofs and a discussion on the relevance and solution of the dual problem A section on developing an example in Data Envelopment Analysis An outline of the proof of John Nash's theorem on the existence of equilibrium strategy pairs for non-cooperative, non-zero-sum games Providing a complete mathematical development of all presented concepts and examples, Introduction to Linear Programming and Game Theory, Third Edition is an ideal text for linear programming and mathematical modeling courses at the upper-undergraduate and graduate levels. It also serves as a valuable reference for professionals who use game theory in business, economics, and management science.
