Artikel
The Welfare of Ramsey Optimal Policy Facing Auto-Regressive Shocks
With non-controllable auto-regressive shocks, the welfare of Ramsey optimal policy is the solution of a single Riccati equation of a linear quadratic regulator. The existing theory by Hansen and Sargent (2007) refers to an additional Sylvester equation but miss another equation for computing the block matrix weighting the square of non-controllable variables in the welfare function. There is no need to simulate impulse response functions over a long period, to compute period loss functions and to sum their discounted value over this long period, as currently done so far. Welfare is computed for the case of the new-Keynesian Phillips curve with an auto-regressive cost-push shock.
- Language
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Deutsch
- Bibliographic citation
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Journal: Economics Bulletin ; ISSN: 1545-2921 ; Volume: 40 ; Year: 2020 ; Issue: 2 ; Pages: 1797-1803 ; Champaign-Urbana: University of Illinois
- Classification
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Existence and Stability Conditions of Equilibrium
Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
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
- Subject
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Ramsey optimal policy
Welfare
Autoregressive shocks
new-Keynesian Phillips curve
- Event
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Geistige Schöpfung
- (who)
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Chatelain, Jean-Bernard
Ralf, Kirsten
- Event
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Veröffentlichung
- (who)
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University of Illinois
- (where)
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Champaign-Urbana
- (when)
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2020
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chatelain, Jean-Bernard
- Ralf, Kirsten
- University of Illinois
Time of origin
- 2020
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