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A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables

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This algorithm extends Ljungqvist and Sargent (2012) algorithm of Stackelberg dynamic game to the case of dynamic stochastic general equilibrium models including exogenous forcing variables. It is based Anderson, Hansen, McGrattan, Sargent (1996) discounted augmented linear quadratic regulator. It adds an intermediate step in solving a Sylvester equation. Forward-looking variables are also optimally anchored on forcing variables. This simple algorithm calls for already programmed routines for Ricatti, Sylvester and Inverse matrix in Matlab and Scilab. A final step using a change of basis vector computes a vector auto regressive representation including Ramsey optimal policy rule function of lagged observable variables, when the exogenous forcing variables are not observable.

Language: Englisch

Classification: 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
Central Banks and Their Policies

Subject: Stackelberg dynamic game
Ramsey optimal policy
Augmented linear quadratic regulator
Algorithm

Event: Geistige Schöpfung

(who): Chatelain, Jean-Bernard
Ralf, Kirsten

Event: Veröffentlichung

(who): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

(where): Kiel und Hamburg

(when): 2017

Handle: http://hdl.handle.net/10419/168031

Last update: 10.03.2025, 11:43 AM CET

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Preprint

Associated

Chatelain, Jean-Bernard
Ralf, Kirsten
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

Time of origin

2017

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