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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

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

Optimal monetary policy at the zero lower bound on nominal interest rates in a cost channel economy

Pathberiya, Lasitha R. C. - 2016

Persistent link: https://www.econbiz.de/10011592058

Optimal Quantitative Easing

Harrison, Richard - 2017

-term debt by the central bank (quantitative easing; ‘QE') alter the average portfolio return and hence influence aggregate … demand and inflation. The central bank chooses the short-term policy rate and QE to minimise a welfare-based loss function … presence of portfolio adjustment costs, a policy of ‘permanent QE' in which the central bank holds a constant stock of long …

Persistent link: https://www.econbiz.de/10012946995

Interest Rate Risk Management by Indian Scheduled Commercial Banks : Evidence Using Linear Programming Problem and Panel Data Analysis

Jindal, Padmini - 2016

This paper intends to explore one of the relatively less highlighted area viz. interest rate risk management by Indian banks with a view to providing an innovative edge to the specific area in the Indian context. Firstly, the paper aims at building empirical relationships between the average...

Persistent link: https://www.econbiz.de/10013007994

Accuracy, speed and robustness of policy function iteration

Richter, Alexander W.; Throckmorton, Nathaniel A.; … - In: Computational economics 44 (2014) 4, pp. 445-476

Persistent link: https://www.econbiz.de/10010489870

Computation of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 3 April 2016

We construct the first algorithm for the perfect foresight solution of otherwise linear models with occasionally binding constraints, with fixed terminal conditions, that is guaranteed to return a solution in finite time, if one exists. We also provide a proof of the inescapability of the "curse...

Persistent link: https://www.econbiz.de/10011452243

Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints

Holden, Tom D. - 2016 - This version: 09 February 2016

We present the first necessary and sufficient conditions for the existence of a unique perfect-foresight solution, returning to a given steady-state, in an otherwise linear model with occasionally binding constraints. We derive further conditions on the existence of a solution in such models,...

Persistent link: https://www.econbiz.de/10011427963

Existence and uniqueness of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2017 - This version: 23 August 2017

paths when there is a zero lower bound on nominal interest rates, even when agents believe that the central bank will …

Persistent link: https://www.econbiz.de/10011717372

Computation of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 30 July 2016

Persistent link: https://www.econbiz.de/10011518454

Existence and uniqueness of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 30 July 2016

nominal interest rates, even when agents believe that the central bank will eventually attain its long-run, positive inflation …

Persistent link: https://www.econbiz.de/10011518459