EconPapers    
Economics at your fingertips  
 

A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables

Jean-Bernard Chatelain () and Kirsten Ralf

Papers from arXiv.org

Abstract: This algorithm extends Ljungqvist and Sargent (2012) algorithm of Stackelberg dynamic game to the case of dynamic stochastic general equilibrium models including exogenous forcing variables. It is based Anderson, Hansen, McGrattan, Sargent (1996) discounted augmented linear quadratic regulator. It adds an intermediate step in solving a Sylvester equation. Forward-looking variables are also optimally anchored on forcing variables. This simple algorithm calls for already programmed routines for Ricatti, Sylvester and Inverse matrix in Matlab and Scilab. A final step using a change of basis vector computes a vector auto regressive representation including Ramsey optimal policy rule function of lagged observable variables, when the exogenous forcing variables are not observable.

Date: 2017-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1708.07996 Latest version (application/pdf)

Related works:
Working Paper: A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables (2019) Downloads
Working Paper: A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables (2017) Downloads
Working Paper: A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables (2017) Downloads
Working Paper: A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1708.07996

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-10-03
Handle: RePEc:arx:papers:1708.07996