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Recursive macroeconomic theory

Опубликовано на портале: 24-10-2003
Cambridge, Mass: MIT Press, 2000, 701 с.
Тематический раздел:
Recursive methods offer a powerful approach in dynamic macroeconomics. This book contains both an introduction to recursive tools, including standard applications such as asset pricing, and advanced material, including analyses of reputational mechanisms and contract design. The tools are presented with enough technical sophistication to get the reader started working on practical problems. When numerical simulations are called for, the book provides suggestions for how to proceed, as well as references for further reading.

The applications cover many substantive issues in macroeconomics, such as equilibrium asset prices, market incompleteness, wealth distribution, fiscal-monetary theories of inflation, government debt, optimal labor and capital taxation, time consistency and credible government policies, optimal social insurance, economic growth, and labor market dynamics.

Book offers an introduction to recursive materials, as well as advanced subject matter, including analysis of reputational mechanisms and contract design. Presents tools that enable the reader to get started solving problems immediately, and provides suggestions for how to proceed with numerical representations.

The applications cover many substantive issues in macroeconomics, such as equilibrium asset prices, market incompleteness, wealth distribution, fiscal-monetary theories of inflation, government debt, optimal labour and capital taxation, time consistency and credible government policies, optimal social insurance, economic growth and labour market dynamics.

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  1. Time Series
      Two workhorses
      Markov chains
      Stochastic linear difference equations
      Concluding remarks
      Appendix: A linear difference equation

  2. Dynamic Programming
      Sequential problems
      Stochastic control equation
      Concluding remarks

  3. Practical Dynamic Programming
      The curse of dimensionality
      Discretization of state space
      Discrete-state dynamic programming
      Application of Howard improvement algorithm
      Numerical implementation
      Sample Bellman equations
      Polynomial approximations
      Concluding remarks

  4. Linear Quadratic Dynamic Programming
      The optimal linear regulator problem
      The stochastic optimal linear regulator problem
      Shadow prices in the linear regulator
      A Lagrangian formulation
      A Kalman filter
      Concluding remarks
      Appendix A: Matrix formulas
      Appendix B: Linear-quadratic approximations

  5. Search, Matching, and Unemployment
      McCall's model of intertemporal job search
      A model of career choice
      A simple version of Jovanovic's matching model
      A longer horizon version of Jovanovic's model
      Concluding remarks
      Appendix: More practice with numerical dynamic programming

  6. Recursive (Partial) Equilibrium
      An equilibrium concept
      Example: adjustment costs
      Recursive competitive equilibrium
      Markov perfect equilibrium
      Linear Markov perfect equilibria
      Concluding remarks

  7. Competitive Equilibrium with Complete Markets
      Time-0 verus sequential trading
      The physical setting
      Primer on asset pricing
      A recursive formulation: Arrow securities
      j-step pricing kernel
      Consumption strips and the cost of business cycles
      Gaussian asset pricing model
      Concluding remarks

  8. Overlapping Generations Models
      Endowments and preferences
      Time-0 trading
      Sequential trading
      Deficit finance
      Equivalent setups
      Optimality and the existence of monetary equilibria
      Within generation heterogeneity
      Gift giving equilibrium
      Concluding remarks

  9. Ricardian Equivalence
      Borrowing limits and Ricardian equivalence
      Infinitely lived-agent economy
      Linked generations interpretation
      Concluding remarks

  10. Asset Pricing
      Asset Euler equations
      Martingale theories of consumption and stock prices
      Equivalent martingale measure
      Equilibrium asset pricing
      Stock prices without bubbles
      Computing asset prices
      The term structure of interest rates
      State-contingent prices
      Government debt
      Interpretation of risk-aversion parameter
      The equity premium puzzle
      Market price of risk
      Hansen-Jagannathan bounds
      Factor models
      Heterogeneity and incomplete markets
      Concluding remarks

  11. Economic Growth
      The economy
      Exogenous growth path
      Externality from spillovers
      All factors reproducible
      Research and monopolistic competition
      Growth in spite of nonreproducible factors
      Concluding comments

  12. Optimal Taxation with Commitment
      A nonstochastic economy
      The Ramsey problem
      Zero capital tax
      Limits to redistribution
      Primal approach to the Ramsey problem
      Taxation of initial capital
      Nonzero capital tax due to incomplete taxation
      A stochastic economy
      Indeterminacy of state-contingent debt and capital taxes
      The Ramsey plan under uncertainty
      Ex ante capital tax varies around zero
      Examples of labor tax smoothing
      Zero tax on human capital
      Should all taxes be zero?
      Concluding remarks

  13. Self-Insurance
      The economy
      Nonstochastic endowment
      Stochastic endowment process
      Concluding remarks

  14. Incomplete Markets Models
      A savings problem
      Unification and further analysis
      Digression: the nonstochastic savings problem
      Borrowing limits: " natural" and " ad hoc"
      Average assets as function of r
      Computed examples
      Several models
      A model with capital and private IOUs
      Private IOUs only
      A model of seigniorage
      Exchange rate indeterminacy
      Precautionary savings
      Models with fluctuating aggregate variables
      Conluding remarks

  15. Optimal Social Insurance
      Insurance with recursive contracts
      Social insurance without commitment
      A Lagrangian method
      A closed system
      Endogenous borrowing constraints
      Social insurance with asymmetric information
      Optimal unemployment compensation
      Lending with morla hazard
      Investment with full insurance
      Limited commitment and unobserved investment
      Concluding remarks
      Appendix A: Historical development
      Appendix B: Computations for Atkeson's model

  16. Credible Government Policies
      The one-period economy
      Examples of economies
      Reputational mechanisms: General idea
      The infinitely repeated economy
      Subgame perfect equilibrium (SPE)
      Examples of SPE
      Self-enforcing SPE
      Recursive strategies
      Examples of SPE with recursive strategies
      The best and the worst SPE

  17. Fiscal-Monetary Theories of Inflation
      A shopping time monetary economy
      Ten monetary doctrines
      Optimal inflation tax: The Friedman rule
      Time consistency of monetary policy
      Concluding discussion

  18. Credit and Currency
      Credit and currency with long-lived agents
      Preferences and endowments
      Complete markets
      A monetary economy
      Townsend's " Turnpike" Interpretation
      The Friedman rule
      Inflationary finance
      Legal restrictions
      A two-money model
      A model of commodity money
      Concluding remarks

  19. Equilibrium Search and Matching
      An island model
      A matching model
      Analysis of welfare
      Matching model with heterogeneous jobs
      Model of employment lotteries
      Employment effects of layoff taxes
      Kiyotaki-Wright search model of money
      Concluding comments

  20. Appendix on Functional Analysis
      Metric spaces and operators
      Discounted dynamic programming

  21. Appendix on Control and Filtering
      The optimal linear regulator control problem
      Converting a problem with cross-products in states
      An example
      The Kalman filter
      Examples of Kalman filtering
      Linear projections
      Hidden Markov chains


    Author Index


    Matlab Programs Index

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См. также:
Jeffrey R. Stokes, Brian M. Brinch
Journal of Agricultural and Applied Economics. 2001.  Vol. 33. No. 3.
Paul A. David, John Gabriel Goddard Lopez
Treasury Working Papers. 2003.  No. 01/13.