Arbeitspapier

Anticipated Shocks in Continuous-time Optimization Models: Theoretical Investigation and Numerical Solution

We derive the well-known continuity principle for adjoint variables for preannounced or anticipated changes in parameters for continuoustime, infinite-horizon, perfect foresight optimization models. For easy and intuitive numerical computation of the resulting multi point boundary value problem we suggested to simulate the resulting differential algebraic system representing the first order conditions. By ensuring that the state variables and the adjoint variables are continuous, potential jumps in the control variables are calculated automatically. This can be easily conducted with the relaxation algorithm as proposed by Trimborn et al. (2007). We solve a Ramsey model extended by an elementary Government sector numerically. Simulations of a preannounced increase in the consumption tax show a qualitative different pattern depending on the intertemporal elasticity of substitution.

Sprache
Englisch

Erschienen in
Series: Diskussionsbeitrag ; No. 363

Klassifikation
Wirtschaft
Economic Growth and Aggregate Productivity: General
Computational Techniques; Simulation Modeling
Optimization Techniques; Programming Models; Dynamic Analysis
Thema
anticipated shocks
continuous-time optimization
numerical solution

Ereignis
Geistige Schöpfung
(wer)
Trimborn, Timo
Ereignis
Veröffentlichung
(wer)
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(wo)
Hannover
(wann)
2007

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Trimborn, Timo
  • Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Entstanden

  • 2007

Ähnliche Objekte (12)