Artikel
A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables
This article presents an algorithm that extends Ljungqvist and Sargent's (2012) dynamic Stackelberg game to the case of dynamic stochastic general equilibrium models including forcing variables. Its first step is the solution of the discounted augmented linear quadratic regulator as in Hansen and Sargent (2007). It then computes the optimal initial anchor of "jump" variables such as inflation. We demonstrate that it is of no use to compute non-observable Lagrange multipliers for all periods in order to obtain impulse response functions and welfare. The algorithm presented, however, enables the computation of a history-dependent representation of a Ramsey policy rule that can be implemented by policy makers and estimated within a vector auto-regressive model. The policy instruments depend on the lagged values of the policy instruments and of the private sector's predetermined and "jump" variables. The algorithm is applied on the new-Keynesian Phillips curve as a monetary policy transmission mechanism.
- Sprache
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Englisch
- Erschienen in
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Journal: Econmics Bulletin ; ISSN: 1545-2921 ; Volume: 39 ; Year: 2019 ; Issue: 4 ; Pages: 2429-2440 ; s.l.: Economics Bulletin
- Klassifikation
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Existence and Stability Conditions of Equilibrium
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy
Policy Objectives; Policy Designs and Consistency; Policy Coordination
Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
- Thema
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Ramsey optimal policy
Stackelberg dynamic game
New-Keynesian Phillips curve
Augmented linear quadratic regulator
Forcing variables
- Ereignis
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Geistige Schöpfung
- (wer)
-
Chatelain, Jean-Bernard
Ralf, Kirsten
- Ereignis
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Veröffentlichung
- (wer)
-
Economics Bulletin
- (wo)
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s.l.
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Chatelain, Jean-Bernard
- Ralf, Kirsten
- Economics Bulletin
Entstanden
- 2019
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