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Persistent link: https://www.econbiz.de/10001476021
The paper presents an extended version of the consumer choice problem. Different from the standard model, prices are not fixed but arise from Walrasian interactions of total demand and a stylized supply function for each of the goods. Three different types of evolutionary algorithms are set up...
Persistent link: https://www.econbiz.de/10011526771
Recent experience with interest rates hitting the effective lower bound and agents facing binding borrowing constraints has emphasised the importance of understanding the behaviour of an economy in which some variables may be restricted at times. The extended path algorithm is a commonly used...
Persistent link: https://www.econbiz.de/10013365558
Since Paul Samuelson introduced the theory of revealed preference, it has become one of the most important concepts in …
Persistent link: https://www.econbiz.de/10012007070
The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a...
Persistent link: https://www.econbiz.de/10009755511
We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when...
Persistent link: https://www.econbiz.de/10014154210
Monetary policy reaction functions are compared in a simple optimizing model with one-period nominal stickiness, i.i.d. shocks, and no capital accumulation. The interest rate is the instrument and is either kept constant, "interest rate targeting" for short, or used in targeting one of the...
Persistent link: https://www.econbiz.de/10014067220
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
We examine the linear-quadratic (LQ) approximation of non-linear stochastic dynamic optimization problems in macroeconomics, in particular for monetary policy. We make four main contributions: first, we draw attention to a general Hamiltonian framework for LQ approximation due to Magill (1977)....
Persistent link: https://www.econbiz.de/10013317055
Persistent link: https://www.econbiz.de/10012623842