Optimal policy in Markov-switching rational expectations models

DOI10.1016/J.JEDC.2011.04.001MaRDI QIDQ647652zbMATH OpenOpenAlexFDO

Authors Andrew P. Blake, Fabrizio Zampolli

Publication date 24 November 2011

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2011.04.001

zbMATH Keywords

regime switchingrational expectationscommitmentoptimal monetary policytime consistency

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic programming (90C39) Hierarchical games (including Stackelberg games) (91A65)

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Cites work

• scientific article; zbMATH DE number 1243371 (Why is no real title available?)
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• Continuous-Time Regulation of a Class of Econometric Models
• Fixed rules and decision rules: time consistency and subgame perfection
• Minimal state variable solutions to Markov-switching rational expectations models
• OPTIMAL POLICY IN RATIONAL EXPECTATIONS MODELS: NEW SOLUTION ALGORITHMS
• Optimal horizons for inflation targeting
• Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics
• Optimization of stochastic systems. Topics in discrete-time systems
• Receding horizon control of jump linear systems and a macroeconomic policy problem
• Reputational and nonreputational policies under partial information
• Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?
• Solutions to linear rational expectations models: a compact exposition
• The Solution of Linear Difference Models under Rational Expectations
• Understanding Markov-switching rational expectations models
• Using the generalized Schur form to solve a multivariate linear rational expectations model

Cited in

(14)

• Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space
• Soft landing in a Markov-switching economy
• Models of Policy under Stochastic Replanning
• Mitigation of the Lucas critique with stochastic control methods
• Understanding Markov-switching rational expectations models
• Determinacy and classification of Markov-switching rational expectations models
• \(\operatorname{H}_2\) dynamic output feedback control of phase-type semi-Markov jump linear systems
• Minimal state variable solutions to Markov-switching rational expectations models
• Optimal policies with heterogeneous agents: truncation and transitions
• Solving endogenous regime switching models
• Indicator variables for optimal policy under asymmetric information
• OPTIMAL POLICY IN RATIONAL EXPECTATIONS MODELS: NEW SOLUTION ALGORITHMS
• Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems
• The optimal policy for the one-against-many heterogeneous Lanchester model

Describes a project that uses

Uses Software

• Uhlig Toolkit

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