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Estimating an optimal macroeconomic uncertainty index for Australia

Kaya, Havvanur Feyza; Tawadros, George B. - In: Applied economics 54 (2022) 38, pp. 4374-4383

Persistent link: https://www.econbiz.de/10013410971

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

Exact Utilities Under Alternative Monetary Rules in a Simple Macro Model with Optimizing Agents

Henderson, Dale W.; Kim, Jinill - 2001

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

Will the Fed ever learn?

Kasa, Kenneth - In: Journal of macroeconomics 21 (1999) 2, pp. 279-292

Persistent link: https://www.econbiz.de/10001369045

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

The Choice of a Monetary Policy Reaction Function in a Simple Optimizing Model

Henderson, Dale W.; Kim, Jinill - 1998

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

Risk-Adjusted Linearizations of Dynamic Equilibrium Models

Lopez, Pierlauro - 2018

We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature and can be seen as a first-order perturbation around the...

Persistent link: https://www.econbiz.de/10012906892

Risk-Adjusted Linearizations of Dynamic Equilibrium Models

Lopez, Pierlauro - 2018

Persistent link: https://www.econbiz.de/10012937173

Solving Linear Difference Systems with Lagged Expectations by a Method of Undetermined Coefficients

Wang, Pengfei - 2006

This paper proposes a solution method to solve linear difference models with lagged expectations. Variables with lagged expectations expand the model's state space greatly when N is large; and getting the system into a canonical form solvable by the traditional methods involves substantial manual...

Persistent link: https://www.econbiz.de/10012734732

Identification of Macroeconomic Factors in Large Panels

Bork, Lasse - 2009

This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...

Persistent link: https://www.econbiz.de/10013154051