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C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis
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Creator: Hopenhayn, Hugo Andres. and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 374 Abstract: The existence of fixed points for monotone maps on spaces of measures is established. The case of monotone Markov processes is analyzed and a uniqueness and global stability condition is developed. A comparative statics result is presented and the problem of approximation to the invariant distribution is discussed. The conditions of the theorems are verified for the cases of Optimal Stochastic Growth and Industry Equilibrium. Mot-clé: Stochastic optimization, Monotone Markov process, and Invariant Markov process Assujettir: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis -
Creator: Hopenhayn, Hugo Andres. and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 299 Abstract: The existence of fixed points for monotone maps on spaces of measures is established. The case of monotone Markov processes is analyzed and a uniqueness and global stability condition is developed. A comparative statics result is presented and the problem of approximation to the invariant distribution is discussed. The conditions of the theorems are verified for the cases of Optimal Stochastic Growth and Industry Equilibrium. Mot-clé: Stochastic optimization, Monotone Markov process, and Invariant Markov process Assujettir: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis -
Creator: Roberds, William. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 298 Abstract: The consequences of a straightforward monetary targeting scheme are examined for a simple dynamic macro model. The notion of "targeting" used below is the strategic one introduced by Rogoff (1985). Numerical simulations are used to demonstrate that for the model under consideration, monetary targeting is likely to lead to a deterioration of policy performance. These examples cast doubt upon the general efficacy of simple targeting schemes in dynamic rational expectations models. Mot-clé: Monetary targeting, Macroeconomic model, Monetary policy, and Rational expectations Assujettir: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis and E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy -
Creator: Stutzer, Michael J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 223 Mot-clé: Optimal planning problems, Optimizing, Plan, and Optimality Assujettir: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis -
Creator: Backus, David., Gregory, Alan., and Zin, Stanley E. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 429 Abstract: We compare the statistical properties of prices of U.S. treasury bills to those generated by a theoretical dynamic exchange economy with complete markets. We show that the model can account for neither the sign nor the magnitude of average risk premiums in forward prices and holding-period returns. The economy is also incapable of generating enough variation in risk premiums to account for rejections of the expectations hypothesis with treasury bill data. These conclusions add to the growing list of empirical deficiencies of the representative agent model of asset pricing. Mot-clé: Autoregressive heteroskedasticity, Holding-period returns, Expectations hypothesis, and Forward prices Assujettir: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates -
Creator: Sargent, Thomas J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 224 Mot-clé: Rational expectations theory, Dimensional prediction, Equilibrium , and Kalman filter Assujettir: D58 - General equilibrium and disequilibrium - Computable and other applied general equilibrium models, C63 - Mathematical methods and programming - Computational techniques ; Simulation modeling, and C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis -
Creator: Hopenhayn, Hugo Andres. and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 374 Abstract: The existence of fixed points for monotone maps on spaces of measures is established. The case of monotone Markov processes is analyzed and a uniqueness and global stability condition is developed. A comparative statics result is presented and the problem of approximation to the invariant distribution is discussed. The conditions of the theorems are verified for the cases of Optimal Stochastic Growth and Industry Equilibrium. Mot-clé: Stochastic optimization, Monotone Markov process, and Invariant Markov process Assujettir: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis -
Creator: Baxter, Marianne, 1956- Series: Nonlinear rational expectations modeling group Abstract: This paper develops a new method for approximating dynamic competitive equilibria in economies in which competitive equilibrium is not necessarily Pareto optimal. The method involves finding approximate equilibrium policy functions by iterating on the stochastic Euler equations which characterize the economy's equilibrium. Two applications are presented: the stochastic growth model of Brock and Mirman (1971) modified to allow distortionary taxation, and a model of inflation and capital accumulation based on Stockman (1981). The computational speed and accuracy of this approach suggests that it may be a feasible method for studying suboptimal economies with large state spaces. Assujettir: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis, E51 - Monetary policy, central banking, and the supply of money and credit - Money supply ; Credit ; Money multipliers, and C63 - Mathematical methods and programming - Computational techniques ; Simulation modeling