Arbeitspapier
Time-consistent control in non-linear models
We show how to use optimal control theory to derive optimal time-consistent Markov-perfect government policies in nonlinear dynamic general equilibrium models, extending the result of Cohen and Michel (1988) for models with quadratic objective functions and linear dynamics. We replace private agents' costates by flexible functions of current states in the government's maximization problem. The functions are verified in equilibrium to an arbitrarily close degree of approximation. They can be found numerically by perturbation or projection methods. We use a stochastic model of optimal public spending to illustrate the technique.
- Language
-
Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2007-3
- Classification
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Wirtschaft
Policy Objectives; Policy Designs and Consistency; Policy Coordination
Fiscal Policy
Computational Techniques; Simulation Modeling
- Subject
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Fiscal policy
Monetary policy framework
Öffentliche Ausgaben
Finanzpolitik
Kontrolltheorie
Geldpolitik
Dynamisches Modell
- Event
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Geistige Schöpfung
- (who)
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Ambler, Steve
Pelgrin, Florian
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2007
- DOI
-
doi:10.34989/swp-2007-3
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ambler, Steve
- Pelgrin, Florian
- Bank of Canada
Time of origin
- 2007
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