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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

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 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

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

Looking for Contagion: the Evidence from the ERM

Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2000

This paper applies a full-information technique to test for the presence of contagion across the money markets of ERM … members. We show that whenever it is possible to estimate a model for interdependence, a test for contagion based o a full … information technique is more powerful. We test for the presence of contagion after having identified episodes of country …

Persistent link: https://www.econbiz.de/10005123753

Currency Crises: A Perspective on Recent Theoretical Developments

Jeanne, Olivier - C.E.P.R. Discussion Papers - 1999

This paper puts recent theoretical developments in the literature on currency crises in perspective by comparing two theoretical approaches, one based on the speculative attack model of Krugman-Flood-Garber and the other approach, which evolved following the 1992-93 crisis of the European...

Persistent link: https://www.econbiz.de/10005123792

Coordination, Cooperation, Contagion and Currency Crises

Loisel, Olivier; Martin, Philippe - C.E.P.R. Discussion Papers - 1999

improving, makes countries more dependent on other countries' fundamentals so that it may induce more contagion: a negative …

Persistent link: https://www.econbiz.de/10005124321

Measuring Co-Movements Between US and European Stock Markets

Bonfiglioli, Alessandra; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2000

stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By … equilibrium for US shares? Is there short-term interdependence and contagion between US and European stock markets, i.e. do short …

Persistent link: https://www.econbiz.de/10005067572