Author: D. Chappell
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
On the Solution of Saddlepoint Problems in Continuous Time Rational Expectations Models
Author: D. Chappell
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Saddlepoint Problems in Continuous Time Rational Expectations Models
Author: Willem Hendrik Buiter
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
The paper presents a general solution method for rational expectations models that can be represented by systems of. deterministic first order linear differential equations with constant coefficients. It is the continuous time adaptation of the method of Blanchard and Kahn. To obtain a unique solution there must be as many linearly independent boundary conditions as there are linearly independent state variables. Three slightly different versions of a well-known small open economy macroeconomic model were used to illustrate three fairly general ways of specifying the required boundary conditions. The first represents the standard case in which the number of stable characteristic roots equals the number of predetermined variables. The second represents the case where the number of stable roots exceeds the number of predetermined variables but equals the number of predetermined variables plus the number of "backward-looking" but non-predetermined variables whose discontinuities are linear functions of the discontinuities in the forward-looking variables. The third represents the case where the number of unstable roots is less than the number of forward-looking state variables. For the last case, boundary conditions are suggested that involve linear restrictions on the values of the state variables at a future date. The method of this paper permits the numerical solution of models with large numbers of state variables. Any combination of anticipated or unanticipated, current or future and permanent or transitory shocks can be analyzed.
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
The paper presents a general solution method for rational expectations models that can be represented by systems of. deterministic first order linear differential equations with constant coefficients. It is the continuous time adaptation of the method of Blanchard and Kahn. To obtain a unique solution there must be as many linearly independent boundary conditions as there are linearly independent state variables. Three slightly different versions of a well-known small open economy macroeconomic model were used to illustrate three fairly general ways of specifying the required boundary conditions. The first represents the standard case in which the number of stable characteristic roots equals the number of predetermined variables. The second represents the case where the number of stable roots exceeds the number of predetermined variables but equals the number of predetermined variables plus the number of "backward-looking" but non-predetermined variables whose discontinuities are linear functions of the discontinuities in the forward-looking variables. The third represents the case where the number of unstable roots is less than the number of forward-looking state variables. For the last case, boundary conditions are suggested that involve linear restrictions on the values of the state variables at a future date. The method of this paper permits the numerical solution of models with large numbers of state variables. Any combination of anticipated or unanticipated, current or future and permanent or transitory shocks can be analyzed.
Saddlepoint Problems in Contifuous Time Rational Expectations Models
Author: Willem H. Buiter
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Abstract: The paper presents a general solution method for rational expectations models that can be represented by systems of. deterministic first order linear differential equations with constant coefficients. It is the continuous time adaptation of the method of Blanchard and Kahn. To obtain a unique solution there must be as many linearly independent boundary conditions as there are linearly independent state variables. Three slightly different versions of a well-known small open economy macroeconomic model were used to illustrate three fairly general ways of specifying the required boundary conditions. The first represents the standard case in which the number of stable characteristic roots equals the number of predetermined variables. The second represents the case where the number of stable roots exceeds the number of predetermined variables but equals the number of predetermined variables plus the number of "backward-looking" but non-predetermined variables whose discontinuities are linear functions of the discontinuities in the forward-looking variables. The third represents the case where the number of unstable roots is less than the number of forward-looking state variables. For the last case, boundary conditions are suggested that involve linear restrictions on the values of the state variables at a future date. The method of this paper permits the numerical solution of models with large numbers of state variables. Any combination of anticipated or unanticipated, current or future and permanent or transitory shocks can be analyzed.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Abstract: The paper presents a general solution method for rational expectations models that can be represented by systems of. deterministic first order linear differential equations with constant coefficients. It is the continuous time adaptation of the method of Blanchard and Kahn. To obtain a unique solution there must be as many linearly independent boundary conditions as there are linearly independent state variables. Three slightly different versions of a well-known small open economy macroeconomic model were used to illustrate three fairly general ways of specifying the required boundary conditions. The first represents the standard case in which the number of stable characteristic roots equals the number of predetermined variables. The second represents the case where the number of stable roots exceeds the number of predetermined variables but equals the number of predetermined variables plus the number of "backward-looking" but non-predetermined variables whose discontinuities are linear functions of the discontinuities in the forward-looking variables. The third represents the case where the number of unstable roots is less than the number of forward-looking state variables. For the last case, boundary conditions are suggested that involve linear restrictions on the values of the state variables at a future date. The method of this paper permits the numerical solution of models with large numbers of state variables. Any combination of anticipated or unanticipated, current or future and permanent or transitory shocks can be analyzed.
Saddlepoint Problems in Continuous Time Rational Expectations Models
Author: Willem Hendrik Buiter
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
"Saddlepoint"
Author: Gerard P. Austin
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Saddlepoint Problems in Continous Time Rational Expectations Models
Author: Willem H. Buiter
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 31
Book Description
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 31
Book Description
Macroeconomic Theory and Stabilization Policy
Author: Willem H. Buiter
Publisher: University of Michigan Press
ISBN: 9780472101382
Category : Economic development
Languages : en
Pages : 392
Book Description
Brings together Buiter's major papers on macroeconomic theory and policy
Publisher: University of Michigan Press
ISBN: 9780472101382
Category : Economic development
Languages : en
Pages : 392
Book Description
Brings together Buiter's major papers on macroeconomic theory and policy
Optimal and Time-consistent Policies in Continuous Time Rational Expectations Models
Author: Willem H. Buiter
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 30
Book Description
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 30
Book Description
Lectures on Macroeconomics
Author: Olivier Blanchard
Publisher: MIT Press
ISBN: 9780262022835
Category : Business & Economics
Languages : en
Pages : 674
Book Description
The main purpose of Lectures on Macroeconomics is to characterize and explain fluctuations in output, unemployment and movement in prices. Lectures on Macroeconomics provides the first comprehensive description and evaluation of macroeconomic theory in many years. While the authors' perspective is broad, they clearly state their assessment of what is important and what is not as they present the essence of macroeconomic theory today.The main purpose of Lectures on Macroeconomics is to characterize and explain fluctuations in output, unemployment and movement in prices. The most important fact of modern economic history is persistent long term growth, but as the book makes clear, this growth is far from steady. The authors analyze and explore these fluctuations. Topics include consumption and investment; the Overlapping Generations Model; money; multiple equilibria, bubbles, and stability; the role of nominal rigidities; competitive equilibrium business cycles, nominal rigidities and economic fluctuations, goods, labor and credit markets; and monetary and fiscal policy issues. Each of chapters 2 through 9 discusses models appropriate to the topic. Chapter 10 then draws on the previous chapters, asks which models are the workhorses of macroeconomics, and sets the models out in convenient form. A concluding chapter analyzes the goals of economic policy, monetary policy, fiscal policy, and dynamic inconsistency. Written as a text for graduate students with some background in macroeconomics, statistics, and econometrics, Lectures on Macroeconomics also presents topics in a self contained way that makes it a suitable reference for professional economists.
Publisher: MIT Press
ISBN: 9780262022835
Category : Business & Economics
Languages : en
Pages : 674
Book Description
The main purpose of Lectures on Macroeconomics is to characterize and explain fluctuations in output, unemployment and movement in prices. Lectures on Macroeconomics provides the first comprehensive description and evaluation of macroeconomic theory in many years. While the authors' perspective is broad, they clearly state their assessment of what is important and what is not as they present the essence of macroeconomic theory today.The main purpose of Lectures on Macroeconomics is to characterize and explain fluctuations in output, unemployment and movement in prices. The most important fact of modern economic history is persistent long term growth, but as the book makes clear, this growth is far from steady. The authors analyze and explore these fluctuations. Topics include consumption and investment; the Overlapping Generations Model; money; multiple equilibria, bubbles, and stability; the role of nominal rigidities; competitive equilibrium business cycles, nominal rigidities and economic fluctuations, goods, labor and credit markets; and monetary and fiscal policy issues. Each of chapters 2 through 9 discusses models appropriate to the topic. Chapter 10 then draws on the previous chapters, asks which models are the workhorses of macroeconomics, and sets the models out in convenient form. A concluding chapter analyzes the goals of economic policy, monetary policy, fiscal policy, and dynamic inconsistency. Written as a text for graduate students with some background in macroeconomics, statistics, and econometrics, Lectures on Macroeconomics also presents topics in a self contained way that makes it a suitable reference for professional economists.
Optimal and Time-Consistent Polices in Continuous Time Rational Expectations Models
Author: Willem H. Buiter
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
In this note the method of Hamiltonian dynamics is used to characterize the time-consistent solution to the optimal control problem in a deterministic continuous time rational expectations model. A linear quadratic example based on the work of Miller and Salmon is used for simplicity. To derive the time-consistent rational expectations (or subgame-perfect) solution we first characterize the optimal solution made familiar e.g. through the work of Calvo. The time-consistent solution is then obtained by modifying the optimal solution through the requirement that the co-state variables (shadow prices) of the non-predetermined variables be zero at each instant. Existing solution methods and computational algorithms can be used to obtain the behaviour of the system under optimal policy and under time-consistent policy.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
In this note the method of Hamiltonian dynamics is used to characterize the time-consistent solution to the optimal control problem in a deterministic continuous time rational expectations model. A linear quadratic example based on the work of Miller and Salmon is used for simplicity. To derive the time-consistent rational expectations (or subgame-perfect) solution we first characterize the optimal solution made familiar e.g. through the work of Calvo. The time-consistent solution is then obtained by modifying the optimal solution through the requirement that the co-state variables (shadow prices) of the non-predetermined variables be zero at each instant. Existing solution methods and computational algorithms can be used to obtain the behaviour of the system under optimal policy and under time-consistent policy.