Creator: Hopenhayn, Hugo Andres and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) 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.
关键词: Stochastic optimization, Invariant Markov process, and Monotone Markov process 学科: 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.
学科: 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