Ricerca
Filtro per:
Soggetto
C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis
Cancella il filtro Soggetto: C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis
1  8 di 8
Risultati della ricerca

 Alpha Creator Tesim:
 Hopenhayn, Hugo Andres. and Prescott, Edward C.
 Series:
 Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
 Number:
 374
 Abstract Tesim:
 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.
 Parola chiave:
 Stochastic optimization, Monotone Markov process, and Invariant Markov process
 Soggetto:
 C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis

 Alpha Creator Tesim:
 Hopenhayn, Hugo Andres. and Prescott, Edward C.
 Series:
 Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
 Number:
 299
 Abstract Tesim:
 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.
 Parola chiave:
 Stochastic optimization, Monotone Markov process, and Invariant Markov process
 Soggetto:
 C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis

 Alpha Creator Tesim:
 Roberds, William.
 Series:
 Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
 Number:
 298
 Abstract Tesim:
 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.
 Parola chiave:
 Monetary targeting, Macroeconomic model, Monetary policy, and Rational expectations
 Soggetto:
 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

 Alpha Creator Tesim:
 Stutzer, Michael J.
 Series:
 Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
 Number:
 223
 Parola chiave:
 Optimal planning problems, Optimizing, Plan, and Optimality
 Soggetto:
 C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis

 Alpha Creator Tesim:
 Backus, David., Gregory, Alan., and Zin, Stanley E.
 Series:
 Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
 Number:
 429
 Abstract Tesim:
 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 holdingperiod 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.
 Parola chiave:
 Autoregressive heteroskedasticity, Holdingperiod returns, Expectations hypothesis, and Forward prices
 Soggetto:
 C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis and G12  General financial markets  Asset pricing ; Trading volume ; Bond interest rates

 Alpha Creator Tesim:
 Sargent, Thomas J.
 Series:
 Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
 Number:
 224
 Parola chiave:
 Rational expectations theory, Dimensional prediction, Equilibrium , and Kalman filter
 Soggetto:
 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

 Alpha Creator Tesim:
 Hopenhayn, Hugo Andres. and Prescott, Edward C.
 Series:
 Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
 Number:
 374
 Abstract Tesim:
 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.
 Parola chiave:
 Stochastic optimization, Monotone Markov process, and Invariant Markov process
 Soggetto:
 C61  Mathematical methods and programming  Optimization techniques ; Programming models ; Dynamic analysis

 Alpha Creator Tesim:
 Baxter, Marianne, 1956
 Series:
 Nonlinear rational expectations modeling group
 Abstract Tesim:
 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.
 Soggetto:
 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