Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 11 pot

... (11. 3.7) and formulas (11. 3.8e)and (11. 3.8f ), respectively, we can de- termine that steady state values of R t+1 and s t /q t are 6 R t+1 =(1+ρ) (11. 3.10) s t /q t =1+ρ −(ρ + δ) τ i . (11. 3 .11) These ... proceeding as follows. First, find steady state values ( k, n) by solving the two steady-state versions of equations (11. 8.1), (11. 8.2). Then take the following linear approx- imatio...

Ngày tải lên: 04/07/2014, 15:20

... insured away. Higher present-value-of-endowment consumers will have permanently higher consump- tion than lower present-value-of-endowment consumers, so that there is a non- degenerate cross-section ... humans share a com- mon ancestor called Eve who lived 200,000 years ago. All of macroeconomics too seems to have descended from a common source, Irving Fisher’s and Mil- ton Friedman’s consump...

Ngày tải lên: 04/07/2014, 15:20

... infinitely lived and risk neutral. The objective of each worker is to maximize the expected discounted value of leisure and labor income. The leisure enjoyed by an unemployed worker is denoted z , while ... subsequent match the firm’s per-period earnings are y −w .Allmatchesare exogenously destroyed with per-period probability s. Free entry implies that the expected discounted stream of a new fi...

Ngày tải lên: 04/07/2014, 15:20

... stationary stochastic process, all second moments can be en- coded in a complex-valued matrix called the spectral density matrix. The auto- covariance sequence for the process determines the spectral ... difficult to predict variable; and (b) nevertheless that θ(L) = φ(L) so that the stochastic discount factor has subtle predictable components. Fea- ture (a) is needed to match observed prices...

Ngày tải lên: 04/07/2014, 15:20

... permit uncertainty. Es- sentially, we add some well-placed shocks to the previous non-stochastic prob- lem. So long as the shocks are either independently and identically distributed or Markov, straightforward ... (3.1.17) where ˆ k denotes the “two-period-ahead” value of k.Equation(3.1.17) can be expressed as 1=β u  (c t+1 ) u  (c t ) f  (k t+1 ) , an Euler equation that is exploited exte...

Ngày tải lên: 04/07/2014, 15:20

... involve no opti- mization, just computing discounted expected utility. The appendix to chapter 6 describes some related examples based on search theory. 4.6.1. Example 1: calculating expected utility Suppose ... V is a discounted present value that an insurer has promised to an unem- ployed worker, V u is a value for next period that the insurer promises the worker if he remains unemployed,...

Ngày tải lên: 04/07/2014, 15:20

... ,  V 21 V 22   V 11 V 21  =0 which implies V 21 V 11 + V 22 V 21 =0. Therefore −  V 22  −1 V 21 = V 21 V −1 11 . So we can write µ 0 = V 21 V −1 11 x 0 (5.5 .11) and µ t = V 21 V −1 11 x t . 126 ... devoted to characterizing the conditions on A, B, R,and Q under which the optimal closed-loop system matrix (A−BF) is stable. These results are surveyed by Anderson, Hansen, McGra...

Ngày tải lên: 04/07/2014, 15:20

... each period she remains unemployed, or a fixed wage w that the worker receives if employed. Once employed, the worker is employed forever with no chance of being fired. Every odd period (i.e., t ... revealed by “nature.” (Jovanovic assumed that T = ∞.) We use the recursive projection technique (the Kalman filter) of chapter 5 to handle the firm’s and worker’s sequential learning. The predicti...

Ngày tải lên: 04/07/2014, 15:20

... Concluding remarks This chapter has introduced two equilibrium concepts and illustrated how dy- namic programming algorithms are embedded in each. For the linear models we have used as illustrations, ... the parameter values listed in exercise 7.1. Exercise 7.6 Self-control This is a model of a human who has time-inconsistent preferences, of a type proposed by Phelps and Pollak (1968) and u...

Ngày tải lên: 04/07/2014, 15:20

... the state-contingent consumption to- day and the promised discounted utility tomorrow are functions of the initial promised discounted utility levels. Define v as the expected discounted utility ... function for a com- plete markets economy with date- and history-contingent commodities, whose markets have been reopened at date τ ,historys τ , given the wealth levels im- plied by the tails ......

Ngày tải lên: 04/07/2014, 15:20