Time-consistent control in nonlinear models

Journal of Economic Dynamics and Control

Volumn 34, Issue 10, 2010, Pages 2215-2228

  Ambler, Steve ^a   Pelgrin, Florian ^b,c  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

^b UNIVERSITY OF LAUSANNE   (Switzerland)

^c CIRANO   (Canada)

Author keywords

Control theory; Optimal government policy; Time consistency

Indexed keywords

EID: 77956870274     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2010.08.004     Document Type: Article

References (33)

1. Ambler S., Cardia E. Optimal government spending in a business cycle model. Business Cycles and Macroeconomic Stability: Should We Rebuild Built-In Stabilizers? 1997, 31-53. Kluwer Academic Press, Boston. J.-O. Hairault, P.-Y. Hénin (Eds.).
2. Ambler S., Paquet A. Fiscal spending shocks, endogenous government spending and real business cycles. Journal of Economic Dynamics and Control 1996, 20:237-256.
3. Ambler S., Paquet A. Recursive methods for computing equilibria of general equilibrium dynamic stackelberg games. Economic Modelling 1997, 14:155-173.
4. Aruoba S., Fernández-Villaverde J., Rubio-Ramírez J. Comparing solution methods for dynamic equilibrium economies. Journal of Economic Dynamics and Control 2006, 30:2477-2508.
5. Benhabib J., Rustichini A. Optimal taxes without commitment. Journal of Economic Theory 1997, 77:231-259.
6. Benhabib J., Rustichini A., Velasco A. Public spending and optimal taxes without commitment. Review of Economic Design 2001, 6:371-396.
7. Benhabib J., Velasco A. On the optimal and best sustainable taxes in an open economy. European Economic Review 1996, 40:135-154.
8. Benigno, P., Woodford, M., 2008. Linear-quadratic approximation of optimal policy problems. Draft, Columbia University.
9. Bernheim B.D., Ray D. Markov perfect equilibria in altruistic growth economies with production uncertainty. Journal of Economic Theory 1989, 47:195-202.
10. Blake, A., Kirsanova, T., 2008. Discretionary policy and multiple equilibria in LQ RE models. Draft, University of Exeter.
11. Chari V.V., Kehoe P. Sustainable plans. Journal of Political Economy 1990, 98:783-802.
12. Chari V.V., Kehoe P. Optimal fiscal and monetary policy. Handbook of Macroeconomics 1999, 1671-1745. North Holland, Amsterdam. J. Taylor, M. Woodford (Eds.).
13. Christiano L., Fisher J. Algorithms for solving dynamic models with occasionally binding constraints. Journal of Economic Dynamics and Control 2000, 24:1179-1232.
14. Cohen D., Michel P. How should control theory be used to calculate a time-consistent government policy?. Review of Economic Studies 1988, 55:263-274.
15. Currie D., Levine P. Rules, Reputation and Macroeconomic Policy Coordination 1993, Cambridge University Press, Cambridge.
16. Debortoli, D., Nunes, R., 2006. On linear-quadratic approximations. Draft, University of California at San Diego.
17. Den Haan W., Marcet A. Solving the stochastic growth model by parameterizing expectations. Journal of Business and Economic Statistics 1990, 8:31-34.
18. Den Haan W., Marcet A. Accuracy in simulations. Review of Economic Studies 1994, 61:3-18.
19. Hansen G., Prescott E. Recursive methods for computing equilibria of business cycle models. Frontiers of Business Cycle Research 1995, 39-64. Princeton University Press, Princeton. T. Cooley (Ed.).
20. Judd K.L. Numerical Methods in Economics 1998, MIT Press, Cambridge.
21. Judd K.L., Guu S.-M. Asymptotic methods for aggregate growth models. Journal of Economic Dynamics and Control 1997, 21:1025-1042.
22. Kim J., Kim S. Spurious welfare reversals in international business cycle models. Journal of International Economics 2003, 60:471-500.
23. Klein P., Krusell P., Ríos-Rull J.V. Time-consistent public policy. Review of Economic Studies 2008, 75:789-808.
24. Krusell P., Smith A. Consumption-savings decisions with quasi-geometric discounting. Econometrica 2003, 71:365-375.
25. Marcet A., Lorenzoni G. The parameterized expectations approach: some practical issues. Computational Methods for the Study of Dynamic Economies 1999, 143-171. Oxford University Press, Oxford. R. Marimon, A. Scott (Eds.).
26. McGrattan E. Application of weighted residual methods to dynamic economic models. Computational Methods for the Study of Dynamic Economies 1999, 114-142. Oxford University Press, Oxford. R. Marimon, A. Scott (Eds.).
27. Miller M., Salmon M. Policy coordination and the time inconsistency of optimal policies in open economies. Economic Journal 1985, 95:124-137.
28. Ortigueira S. Markov-perfect optimal taxation. Review of Economic Dynamics 2006, 9:153-178.
29. Oudiz G., Sachs J. International policy coordination in dynamic macroeconomic models. International Economic Policy Coordination 1985, 274-318. Cambridge University Press, Cambridge. W. Buiter, R. Marston (Eds.).
30. Ramsey F. A contribution to the optimal theory of taxation. Economic Journal 1927, 37:47-61.
31. Sargent T. Dynamic Macroeconomic Theory 1987, Harvard University Press, Cambridge.
32. Smets F., Wouters R. An estimated stochastic dynamic general equilibrium model of the euro area. Journal of the European Economic Association 2003, 1:1123-1175.
33. Söderlind P. Solution and estimation of RE macromodels with optimal policy. European Economic Review 1999, 43:813-823.