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Author: Willem H. Buiter
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 30
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Book Description
Author: Willem H. Buiter
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 30
Get Book Here
Book Description
Author: Willem H. Buiter
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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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.
Author: Willem H. Buiter
Publisher:
ISBN:
Category : Economic policy
Languages : en
Pages : 66
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Book Description
The paper surveys some recent developments in policy evaluation and design in continuous time linear rational expectations models. Much recent work in macroeconomics and open economy macroeconomics fits into this category. First the continuous time analogue is reviewed of the discrete time solution method of Blanchard and Kahn. Some problems associated with this solution method are then discussed, including non-uniqueness and zero roots. Optimal (but in general time-inconsistent) and time-consistent (but in general suboptimal) solutions are derived to the general linear-quadratic optimal control problem, based on work by Calvo, Driffill, Miller and Salmon and the author. A numerical example is solved, involving optimal and time-consistent anti-inflationary policy design in a contract model.
Author: Willem H. Buiter
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
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Book Description
The paper surveys some recent developments in policy evaluation and design in continuous time linear rational expectations models. Much recent work in macroeconomics and open economy macroeconomics fits into this category. First the continuous time analogue is reviewed of the discrete time solution method of Blanchard and Kahn. Some problems associated with this solution method are then discussed, including non-uniqueness and zero roots. Optimal (but in general time-inconsistent) and time-consistent (but in general suboptimal) solutions are derived to the general linear-quadratic optimal control problem, based on work by Calvo, Driffill, Miller and Salmon and the author. A numerical example is solved, involving optimal and time-consistent anti-inflationary policy design in a contract model.
Author: John Driffill
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 52
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Book Description
Author: Willem H. Buiter
Publisher: University of Michigan Press
ISBN: 9780472101382
Category : Economic development
Languages : en
Pages : 392
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Book Description
Brings together Buiter's major papers on macroeconomic theory and policy
Author: Richard Dennis
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 42
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Book Description
Author: S.G. Hall
Publisher: Elsevier
ISBN: 1483295478
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
This book arose out of research carried out by the authors in the period 1983-1987 whilst at the National Institute of Economic and Social Research. A number of things combined to impart the basic thrust of the research: partly the developments in formulating and estimating rational expectations models, and partly actual developments in the UK economy itself.An application of recent developments in dynamic modelling to a complete macroeconometric model of the UK is presented. Rational expectations modelling, co-integration and disequilibrium modelling are covered. The book also develops computational procedures for obtaining efficient solutions to large-scale models, and illustrates model solutions assuming rational expectations and stochastic simulations. Finally, sections on the analysis of models using optimal control methods illustrate applications of a large-scale econometric model. This section also discusses policy applications, including the derivation of time-consistent policies in the presence of rational expectations, giving quantified illustrations.
Author: Martin Weale
Publisher: Routledge
ISBN: 131737942X
Category : Business & Economics
Languages : en
Pages : 348
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Book Description
This analysis of macroeconomic policy, originally published in 1989, argues that key government objectives, such as reduced inflation, decreased unemployment and an adequate level of national saving can be achieved only by employing both monetary and fiscal policies, in conjunction with supply-side policies expressly designed to improve the workings of the labour market. Part 1 is a comparative analysis showing the effects of monetary and fiscal policy on the economy. Real-wage rigidity in the labour market is shown to have important consequences for the working of both types of policy, because it conditions the economy’s response to tax changes. Part 2 presents an econometric model which combines consistent stock-flow accounts with a full range of expectational effects. Part 3 presents an innovative technique for solving rational expectations models with the need for arbitary terminal conditions.
Author: Centre for Economic Policy Research (Great Britain)
Publisher: CUP Archive
ISBN: 9780521337809
Category : Business & Economics
Languages : en
Pages : 408
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Book Description
This volume presents some of the best current research on international economic policy coordination.
