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Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2008

In this paper we propose a new way to formulate optimal policy based on a quadratic intertemporal welfare function where the dynamic constraint is based on a VAR model of the economy which we call the PVAR method. We argue that the VAR under control should not be derived simply by replacing the...

Persistent link: https://www.econbiz.de/10005497823

Optimal fiscal policy

Lukkezen, Jasper; Teulings, Coen N - C.E.P.R. Discussion Papers - 2013

This paper derives and estimates rules for fiscal policy that prescribe the optimal response to changes in unemployment and debt. We combine the reducedform model of the economy from a linear VAR with a non-linear welfare function and obtain analytic solutions for optimal policy. The variables...

Persistent link: https://www.econbiz.de/10011084121

Optimal Control and Filtering in Linear Forward-looking Economies: A Toolkit

Gerali, Andrea; Lippi, Francesco - C.E.P.R. Discussion Papers - 2003

We provide algorithms to solve a linear-quadratic optimal control problem with commitment. By extending to the case of imperfect information a procedure outlined in Ljungqvist and Sargent (2002), we make the results of Svensson and Woodford (2000) easy to implement. We provide a Mat-lab package...

Persistent link: https://www.econbiz.de/10005661950

How Should Control Theory be Used by a Time-Consistent Government?

Cohen, Daniel; Michel, Philippe - C.E.P.R. Discussion Papers - 1986

It has been recognized that the optimal strategy of a government is generally time-inconsistent: optimality requires that the government take into account expectations effects in the formulation of its policy and to ignore these effects when applying the policy. In order to analyse the problem,...

Persistent link: https://www.econbiz.de/10005666548

Experimentation in Two-Sided Markets

Peitz, Martin; Rady, Sven; Trepper, Piers - C.E.P.R. Discussion Papers - 2011

We study optimal experimentation by a monopolistic platform in a two-sided market framework. The platform provider faces uncertainty about the strength of the externality each side is exerting on the other. It maximizes the expected present value of its profit stream in a continuous-time...

Persistent link: https://www.econbiz.de/10009371477

Optimal Target Criteria for Stabilization Policy

Giannoni, Marc; Woodford, Michael - C.E.P.R. Discussion Papers - 2010

This paper considers a general class of nonlinear rational-expectations models in which policymakers seek to maximize an objective function that may be household expected utility. We show how to derive a target criterion that is: (i) consistent with the model's structural equations, (ii) strong...

Persistent link: https://www.econbiz.de/10008468673

Systemic Risk and International Portfolio Choice

Das, Sanjiv Ranjan; Uppal, Raman - C.E.P.R. Discussion Papers - 2002

Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...

Persistent link: https://www.econbiz.de/10005504252

Wealth Transfers, Contagion and Portfolio Constraints

Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005

wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …

Persistent link: https://www.econbiz.de/10005504325

German Bank Lending During Financial Crises: A Bank Level Analysis

Heid, Frank; Nestmann, Thorsten; Von Westernhagen, Natalja - C.E.P.R. Discussion Papers - 2005

This paper studies German bank lending during the Asian and Russian crises, using a bank level data set from the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We find that German banks reacted to the...

Persistent link: https://www.econbiz.de/10005504386

Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk

Acharya, Viral V; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2003

cost of borrowing for the surviving banks. Such information contagion is thus costly to bank owners. Given their limited … rise to a pro-cyclical pattern in the correlation of bank loan returns. The direction of information contagion, the … localized nature of contagion and herding, and the welfare properties, are also characterized. …

Persistent link: https://www.econbiz.de/10005504423