Recursive macroeconomic theory, Thomas Sargent 2nd Ed - References docx

... Woodford (eds.), Handbook of Macroeconomics. Amsterdam: North-Holland. Albarran, Pedro and Orazio Attanasio. 2003. “Limited Commitment and Crowd- ing out of Private Transfers: Evidence from a Randomized ... aversion, 418 coinsurance, 663 commitment one-sided lack of, 635 technology, 768 two-sided, 657, 668 two-sided lack of, 692 competitive equilibrium, 771, 900, 912 sequential-trading, 222 c...

Ngày tải lên: 04/07/2014, 15:20

... second-year macroeconomics course: select from chapters 13–26. 5. A self-contained course about recursive contracts: chapters 18–23. As an example, Sargent used the following structure for a one-quarter ... important problems in macroeco- nomics could not be formulated recursively. Kydland and Prescott (1977) ar- gued that it would be difficult to apply recursive methods to macroeconomic...

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... 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...

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... 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...

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... 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...

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... 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, 1...

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... 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 ... eigenvalues of (A−BF). Write the “closed-loop” equation as x t+1 = DΛD −1 x t .Thesolution of this difference equation for t>0 is readily veri ed by repeated substitution to be x t = DΛ t D...

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... 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 ... the concept of a “mean-preserving increase in spread.” In particular, a distribution indexed by r 2 is said to have been obtained from a distribution indexed by r 1 by a mean-preserving increase ......

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... 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 used by Laibson ... 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...

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... 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 ......

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