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On the Euler equation approach to discrete--time nonstationary optimal control problems
Optimal control indicators for the assessment of the influence of government policy to business cycle shocks
1. | Department of Economics, Division of Mathematics-Informatics, National and Kapodistrian University of Athens, 8 Pesmazoglou Street, Athens, 105 59, Greece, Greece |
References:
[1] |
A. G. Malliaris and J. L. Urrutia, How big is the random walk in macroeconomic time series: Variance ratio tests, Economic Uncertainty, Instabilities And Asset Bubbles, (2005), 9-12.
doi: 10.1142/9789812701015_0002. |
[2] |
C. Burnside and M. Eichenbaum, Factor Hoarding and the Propagation of Business Cycle Shocks, American Economic Review, 86 (1996), 1154-1174. |
[3] |
C. R. Nelson and C. I. Plosser, Trends and random walks in macroeconomic time series: Some evidence and implications, Journal of Monetary Economics, 10 (1982), 139-162.
doi: 10.1016/0304-3932(82)90012-5. |
[4] |
D. E. W. Laidler, An elementary monetarist model of simultaneous fluctuations in prices and output, in "Inflation in Small Countries" (ed. H. Frisch), Lecture Notes in Economics and Mathematical Systems, 119, Springer, Berlin-Heidelberg, (1976), 75-89.
doi: 10.1007/978-3-642-46331-0_4. |
[5] |
F. Canova, Detrending and business cycle facts, Journal of Monetary Economics, 41 (1998), 475-512.
doi: 10.1016/S0304-3932(98)00006-3. |
[6] |
F. E. Kydland and E. C. Prescott, Time to build and aggregate fluctuations, Econometrica, 50 (1982), 1345-1370. |
[7] |
J.-O. Cho and T. F. Cooley, The business cycle with nominal contracts, Economic Theory, 6 (1995), 13-33.
doi: 10.1007/BF01213939. |
[8] |
J. B. Long, Jr. and C. I. Plosser, Real business cycles, Journal of Political Economy, 91 (1983), 39-69. |
[9] |
J. H. Stock and M. W. Watson, Does GNP have a unit root?, Economics Letters, 22 (1986), 147-151.
doi: 10.1016/0165-1765(86)90222-3. |
[10] |
J. Y. Campbell and N. G. Mankiw, Are output fluctuations transitory?, The Quarterly Journal of Economics, 102 (1987), 857-880.
doi: 10.2307/1884285. |
[11] |
L. J. Christiano and M. Eichenbaum, Current real-business cycle theories and aggregate labor-market fluctuations, American Economic Review, 82 (1992), 430-450. |
[12] |
L. J. Christiano and M. Eichenbaum, Unit roots in real GNP: Do we know and do we care?, Carnegie-Rochester Conference Series on Public Policy, 32 (1990), 7-62. |
[13] |
Lutz Arnold, "Business Cycle Theory," Oxford University Press, 2002.
doi: 10.1093/acprof:oso/9780199256815.001.0001. |
[14] |
M. Boldrin and M. Horvath, Labor contracts and business cycles, Journal of Political Economy, 103 (1995), 972-1004.
doi: 10.1086/262010. |
[15] |
N. G. Mankiw and D. Romer, "New Keynesian Economics," Vols. 1 and 2, Cambridge University Press, 1991. |
[16] |
O. J. Blanchard and S. Fischer, "Lectures in Macroeconomics," MIT Press, Cambridge, 1989. |
[17] |
Philip R. Lane, The cyclical behaviour of fiscal policy: Evidence from the OECD, Journal of Public Economics, 87 (2003), 2661-2675.
doi: 10.1016/S0047-2727(02)00075-0. |
[18] |
R. Cottle, J. Pang and R. Stone, "Linear Complimentarity Problem," Classics in Applied Mathematics, SIAM, 2009. |
[19] |
R. E. Lucas, Jr., Econometric policy evaluation: A critique, in "Carnegie-Rochester Conference Series on Public Policy," Elsevier, North Holland, Amsterdam, (1976), 19-46.
doi: 10.1016/S0167-2231(76)80003-6. |
[20] |
R. E. A. Farmer and J.-T. Guo, Real business cycles and the animal spirits hypothesis, Journal of Economic Theory, 63 (1994), 42-72.
doi: 10.1006/jeth.1994.1032. |
[21] |
R. G. King and S. T. Rebelo, Resuscitating real business cycles, in "Handbook of Macroeconomics" (eds. J. B. Taylor and M. Woodford), North Holland, Amsterdam, (1999), 927-1007.
doi: 10.1016/S1574-0048(99)10022-3. |
[22] |
R. G. D. Allen, "Macroeconomic Theory: A Mathematical Treatment," Macmillan, London, 1967. |
[23] |
R. Neck, The Contribution of Control Theory to the Analysis of Economic Policy, in "Proceedings of the $17^th$ World Congress," The International Federation of Automatic Control, Seoul, (2008), 6-11. |
[24] |
V. R. Bencivenga, An econometric study of hours and output variation with preference shocks, International Economic Review, 33 (1992), 449-471.
doi: 10.2307/2526904. |
[25] |
S. Boyd and L. Vandenberghe, "Convex Optimization," Cambridge University Press, Cambridge, 2004. |
[26] |
T. Puu and I. Sushko, A business cycle model with cubic nonlinearity, Chaos, Solitons and Fractals, 19 (2004), 597-612.
doi: 10.1016/S0960-0779(03)00132-2. |
show all references
References:
[1] |
A. G. Malliaris and J. L. Urrutia, How big is the random walk in macroeconomic time series: Variance ratio tests, Economic Uncertainty, Instabilities And Asset Bubbles, (2005), 9-12.
doi: 10.1142/9789812701015_0002. |
[2] |
C. Burnside and M. Eichenbaum, Factor Hoarding and the Propagation of Business Cycle Shocks, American Economic Review, 86 (1996), 1154-1174. |
[3] |
C. R. Nelson and C. I. Plosser, Trends and random walks in macroeconomic time series: Some evidence and implications, Journal of Monetary Economics, 10 (1982), 139-162.
doi: 10.1016/0304-3932(82)90012-5. |
[4] |
D. E. W. Laidler, An elementary monetarist model of simultaneous fluctuations in prices and output, in "Inflation in Small Countries" (ed. H. Frisch), Lecture Notes in Economics and Mathematical Systems, 119, Springer, Berlin-Heidelberg, (1976), 75-89.
doi: 10.1007/978-3-642-46331-0_4. |
[5] |
F. Canova, Detrending and business cycle facts, Journal of Monetary Economics, 41 (1998), 475-512.
doi: 10.1016/S0304-3932(98)00006-3. |
[6] |
F. E. Kydland and E. C. Prescott, Time to build and aggregate fluctuations, Econometrica, 50 (1982), 1345-1370. |
[7] |
J.-O. Cho and T. F. Cooley, The business cycle with nominal contracts, Economic Theory, 6 (1995), 13-33.
doi: 10.1007/BF01213939. |
[8] |
J. B. Long, Jr. and C. I. Plosser, Real business cycles, Journal of Political Economy, 91 (1983), 39-69. |
[9] |
J. H. Stock and M. W. Watson, Does GNP have a unit root?, Economics Letters, 22 (1986), 147-151.
doi: 10.1016/0165-1765(86)90222-3. |
[10] |
J. Y. Campbell and N. G. Mankiw, Are output fluctuations transitory?, The Quarterly Journal of Economics, 102 (1987), 857-880.
doi: 10.2307/1884285. |
[11] |
L. J. Christiano and M. Eichenbaum, Current real-business cycle theories and aggregate labor-market fluctuations, American Economic Review, 82 (1992), 430-450. |
[12] |
L. J. Christiano and M. Eichenbaum, Unit roots in real GNP: Do we know and do we care?, Carnegie-Rochester Conference Series on Public Policy, 32 (1990), 7-62. |
[13] |
Lutz Arnold, "Business Cycle Theory," Oxford University Press, 2002.
doi: 10.1093/acprof:oso/9780199256815.001.0001. |
[14] |
M. Boldrin and M. Horvath, Labor contracts and business cycles, Journal of Political Economy, 103 (1995), 972-1004.
doi: 10.1086/262010. |
[15] |
N. G. Mankiw and D. Romer, "New Keynesian Economics," Vols. 1 and 2, Cambridge University Press, 1991. |
[16] |
O. J. Blanchard and S. Fischer, "Lectures in Macroeconomics," MIT Press, Cambridge, 1989. |
[17] |
Philip R. Lane, The cyclical behaviour of fiscal policy: Evidence from the OECD, Journal of Public Economics, 87 (2003), 2661-2675.
doi: 10.1016/S0047-2727(02)00075-0. |
[18] |
R. Cottle, J. Pang and R. Stone, "Linear Complimentarity Problem," Classics in Applied Mathematics, SIAM, 2009. |
[19] |
R. E. Lucas, Jr., Econometric policy evaluation: A critique, in "Carnegie-Rochester Conference Series on Public Policy," Elsevier, North Holland, Amsterdam, (1976), 19-46.
doi: 10.1016/S0167-2231(76)80003-6. |
[20] |
R. E. A. Farmer and J.-T. Guo, Real business cycles and the animal spirits hypothesis, Journal of Economic Theory, 63 (1994), 42-72.
doi: 10.1006/jeth.1994.1032. |
[21] |
R. G. King and S. T. Rebelo, Resuscitating real business cycles, in "Handbook of Macroeconomics" (eds. J. B. Taylor and M. Woodford), North Holland, Amsterdam, (1999), 927-1007.
doi: 10.1016/S1574-0048(99)10022-3. |
[22] |
R. G. D. Allen, "Macroeconomic Theory: A Mathematical Treatment," Macmillan, London, 1967. |
[23] |
R. Neck, The Contribution of Control Theory to the Analysis of Economic Policy, in "Proceedings of the $17^th$ World Congress," The International Federation of Automatic Control, Seoul, (2008), 6-11. |
[24] |
V. R. Bencivenga, An econometric study of hours and output variation with preference shocks, International Economic Review, 33 (1992), 449-471.
doi: 10.2307/2526904. |
[25] |
S. Boyd and L. Vandenberghe, "Convex Optimization," Cambridge University Press, Cambridge, 2004. |
[26] |
T. Puu and I. Sushko, A business cycle model with cubic nonlinearity, Chaos, Solitons and Fractals, 19 (2004), 597-612.
doi: 10.1016/S0960-0779(03)00132-2. |
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