Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 23 pdf
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 23 pdf
... borrower under the more restricted contract.
23. 4. Limited commitment and unobserved investment
Atkeson designed an optimal recursive contract that copes with two impedi-
ments to risk sharing: (1) ... one-sided limited commitment: the borrower is free to
default on the contract and can choose to revert to autarky at any state.
Each period, the borrower confronts a two-period-lived, risk-...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 7 pdf
... 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...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 9 pdf
... have already en-
countered repeated examples of the situation that, before an equilibrium with
valued currency can exist, the equilibrium without valued currency must be a
low-interest-rate economy ... these equilibria is credible, in the sense of subgame perfection, to be studied
extensively in chapter 22.
Narayana Kocherlakota (1998) has compared gift-giving and monetary equi-
libria in a...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 17 pdf
... implement multilateral long-term lending among corre-
sponding “banks”: notes issued by individual A and owned by B are “honored”
or redeemed by individual C by being exchanged for goods.
13
In a ... worker receives
the offered wage each period until he is fired. With probability 1 − µ,an
unemployed worker receives no offer this period. The probability µ is deter-
mined by the function µ = f(U),...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 1 potx
... 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...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 2 pptx
... 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...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 3 docx
... 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 ... method proceeds by constructing a
sequence of value functions and associated policy functions. The sequence is
created by iterating on the following equation, starting from V
0
= 0,...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 4 ppt
... 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,...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 5 doc
... 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, McGrattan, and Sargent ... those prob-
lems otherwise is why linear quadratic approximations are used so widely. We
describe those approximations in appendix B to this chapter.
In chapter 7, we go beyond the single-...
Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 6 docx
... 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...
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