Search Results
Showing results 1 to 10 of approximately 37.
(refine search)
Working Paper
Applications of Markov Chain Approximation Methods to Optimal Control Problems in Economics
Phelan, Tom; Eslami, Keyvan
(2021-02-10)
In this paper we explore some of the benefits of using the finite-state Markov chain approximation (MCA) method of Kushner and Dupuis (2001) to solve continuous-time optimal control problems. We first show that the implicit finite-difference scheme of Achdou et al. (2017) amounts to a limiting form of the MCA method for a certain choice of approximating chains and policy function iteration for the resulting system of equations. We then illustrate the benefits of departing from policy function iteration by showing that using variations of modified policy function iteration to solve income ...
Working Papers
, Paper 21-04
Working Paper
Likelihood Evaluation of Models with Occasionally Binding Constraints
Iacoviello, Matteo; Cuba-Borda, Pablo A.; Zhong, Molin; Guerrieri, Luca
(2019-04-19)
Applied researchers interested in estimating key parameters of DSGE models face an array of choices regarding numerical solution and estimation methods. We focus on the likelihood evaluation of models with occasionally binding constraints. We document how solution approximation errors and likelihood misspecification, related to the treatment of measurement errors, can interact and compound each other.
Finance and Economics Discussion Series
, Paper 2019-028
Working Paper
Efficient Computation with Taste Shocks
Gordon, Grey
(2019-09-11)
Taste shocks result in nondegenerate choice probabilities, smooth policy functions, continuous demand correspondences, and reduced computational errors. They also cause significant computational cost when the number of choices is large. However, I show that, in many economic models, a numerically equivalent approximation may be obtained extremely efficiently. If the objective function has increasing differences (a condition closely tied to policy function monotonicity) or is concave in a discrete sense, the proposed algorithms are O(n log n) for n states and n choice--a drastic improvement ...
Working Paper
, Paper 19-15
Working Paper
A Generalized Approach to Indeterminacy in Linear Rational Expectations Models
Bianchi, Francesco; Nicolo, Giovanni
(2019-05)
We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The method consists of augmenting the original state space with a set of auxiliary exogenous equations to provide the adequate number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always determinate, and is identical to the indeterminate solution of the original model. The proposed approach accommodates determinacy and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region ...
Finance and Economics Discussion Series
, Paper 2019-033
Working Paper
Optimal monetary policy regime switches
Foerster, Andrew T.; Choi, Jason
(2016-08-01)
Given regime switches in the economy?s growth rate, optimal monetary policy rules may respond by switching policy parameters. These optimized parameters differ across regimes and from the optimal choice under fixed regimes, particularly in the inflation target and interest rate inertia. Optimal switching rules produce welfare gains relative to constant rules, with switches in the implicit real interest rate used for policy and the degree of interest rate inertia producing the largest gains. However, gains from switching rules decrease if the monetary authority trades-off the probability of ...
Research Working Paper
, Paper RWP 16-7
Working Paper
Optimal Monetary Policy Regime Switches
Choi, Jason; Foerster, Andrew
(2019-02-01)
An economy that switches between high and low growth regimes creates incentives for the monetary authority to change its rule. As lower growth tends to produce lower real interest rates, the monetary authority has an incentive to increase the inflation target and increase the degree of inertia in setting rates in an attempt to keep the nominal rate positive. An optimizing monetary authority therefore responds to permanently lower growth by slightly increasing both the inflation target and inertia; focusing solely on the inflation target ignores a key margin of adjustment. With repeated growth ...
Working Paper Series
, Paper 2019-3
Working Paper
Finite-Order VAR Representation of Linear Rational Expectations Models: With Some Lessons for Monetary Policy
Martinez-Garcia, Enrique
(2016-09-01)
This paper considers the characterization via finite-order VARs of the solution of a large class of linear rational expectations (LRE) models. I propose a unified approach that uses a companion Sylvester equation to check the existence and uniqueness of a solution to the canonical (first-order) LRE model in finite-order VAR form and a quadratic matrix equation to characterize it decoupling the backward- and forward-looking aspects of the model. I also investigate the fundamentalness of the shocks recovered. Solving LRE models by this procedure is straightforward to implement, general in its ...
Globalization Institute Working Papers
, Paper 285
Working Paper
Rational Inattention via Ignorance Equivalence
Müller-Itten, Michèle; Stangebye, Zachary; Armenter, Roc
(2020-06-22)
We present a novel approach to finite Rational Inattention (RI) models based on the ignorance equivalent, a fictitious action with state-dependent payoffs that effectively summarizes the optimal learning and conditional choices. The ignorance equivalent allows us to recast the RI problem as a standard expected utility maximization over an augmented choice set called the learning-proof menu, yielding new insights regarding the behavioral implications of RI, in particular as new actions are added to the menu. Our geometric approach is also well suited to numerical methods, outperforming ...
Working Papers
, Paper 20-24
Working Paper
Asymmetric Information and the Death of ABS CDOs
Beltran, Daniel O.; Thomas, Charles P.; Cordell, Lawrence R.
(2013)
A key feature of the 2007 financial crisis is that for many securities trading had ceased; where trading did occur, market prices were well below intrinsic values, especially for ABS CDOs. One explanation is that information had been asymmetric, with sellers having better information than buyers. We first show the information advantages sellers had over buyers in both the issuance of CDOs and, through vertical integration, performance of the CDO collateral that could well have disrupted trading after the onset of the crisis. Using a ?workhorse" model for pricing securities under asymmetric ...
International Finance Discussion Papers
, Paper 1075
Working Paper
The "Matthew Effect" and Market Concentration: Search Complementarities and Monopsony Power
Yu, Yang; Mandelman, Federico S.; Zanetti, Francesco; Fernández-Villaverde, Jesús
(2021-01-15)
This paper develops a dynamic general equilibrium model with heterogeneous firms that face search complementarities in the formation of vendor contracts. Search complementarities amplify small differences in productivity among firms. Market concentration fosters monopsony power in the labor market, magnifying profits and further enhancing the output share of high-productivity firms. The combination of search complementarities and monopsony power induce a strong "Matthew effect" that endogenously generates superstar firms out of uniform idiosyncratic productivity distributions. Reductions in ...
FRB Atlanta Working Paper
, Paper 2021-4
FILTER BY year
FILTER BY Bank
Board of Governors of the Federal Reserve System (U.S.) 8 items
Federal Reserve Bank of Dallas 7 items
Federal Reserve Bank of Chicago 4 items
Federal Reserve Bank of Cleveland 4 items
Federal Reserve Bank of Atlanta 3 items
Federal Reserve Bank of Philadelphia 3 items
Federal Reserve Bank of San Francisco 3 items
Federal Reserve Bank of Richmond 2 items
Federal Reserve Bank of Kansas City 1 items
Federal Reserve Bank of Minneapolis 1 items
Federal Reserve Bank of St. Louis 1 items
show more (6)
show less
FILTER BY Series
Finance and Economics Discussion Series 7 items
Working Paper Series 7 items
Working Papers 7 items
Globalization Institute Working Papers 6 items
FRB Atlanta Working Paper 3 items
Working Paper 2 items
International Finance Discussion Papers 1 items
Research Working Paper 1 items
Review 1 items
Staff Report 1 items
Working Papers (Old Series) 1 items
show more (6)
show less
FILTER BY Content Type
FILTER BY Author
Martinez-Garcia, Enrique 4 items
Armenter, Roc 3 items
Müller-Itten, Michèle 3 items
Veracierto, Marcelo 3 items
Choi, Jason 2 items
Eslami, Keyvan 2 items
Fernández-Villaverde, Jesús 2 items
Foerster, Andrew 2 items
Gordon, Grey 2 items
Hebden, James 2 items
Kabukcuoglu, Ayse 2 items
López-Salido, J. David 2 items
Mandelman, Federico S. 2 items
Phelan, Tom 2 items
Strangebye, Zachary 2 items
Yu, Yang 2 items
Zanetti, Francesco 2 items
Anand, Kartik 1 items
Anderson, Gary S. 1 items
Athanasopoulou, Marialena 1 items
Beltran, Daniel O. 1 items
Bianchi, Francesco 1 items
Cheremukhin, Anton A. 1 items
Cho, In-Koo 1 items
Consiglio, Andrea 1 items
Cordell, Lawrence R. 1 items
Craig, Ben R. 1 items
Cuba-Borda, Pablo A. 1 items
Diercks, Anthony M. 1 items
Erce, Aitor 1 items
Erceg, Christopher J. 1 items
Foerster, Andrew T. 1 items
Gauthier, Pascal 1 items
Gavilan, Angel 1 items
Glick, Reuven 1 items
Guerrieri, Luca 1 items
Hsu, Alex 1 items
Iacoviello, Matteo 1 items
Jacobs, Lindsay 1 items
Kasa, Kenneth 1 items
Kehoe, Timothy J. 1 items
Kiley, Michael T. 1 items
King, Thomas B. 1 items
Kollmann, Robert 1 items
Lansing, Kevin J. 1 items
Lopez, Pierlauro 1 items
Matthes, Christian 1 items
Moshammer, Edmund 1 items
Nicolo, Giovanni 1 items
Petrosky-Nadeau, Nicolas 1 items
Quintin, Erwan 1 items
Seitelman, Lily 1 items
Stangebye, Zachary 1 items
Tamoni, Andrea 1 items
Tetlow, Robert J. 1 items
Thomas, Charles P. 1 items
Tutino, Antonella 1 items
Vazquez-Grande, Francisco 1 items
Waggoner, Daniel F. 1 items
Winkler, Fabian 1 items
Wu, Hongwei 1 items
Zenios, Stavros A. 1 items
Zha, Tao 1 items
Zhong, Molin 1 items
http://fedora:8080/fcrepo/rest/objects/authors/ 1 items
von Peter, Goetz 1 items
show more (61)
show less
FILTER BY Jel Classification
E32 11 items
C68 7 items
E37 6 items
E52 6 items
C32 5 items
C61 5 items
C62 5 items
E44 4 items
G12 4 items
D81 3 items
D82 3 items
D83 3 items
E31 3 items
G11 3 items
C6 2 items
C60 2 items
E00 2 items
F34 2 items
C19 1 items
C51 1 items
C53 1 items
C65 1 items
D21 1 items
D22 1 items
D31 1 items
D43 1 items
D51 1 items
D61 1 items
D80 1 items
D84 1 items
D85 1 items
E13 1 items
E17 1 items
E27 1 items
E3 1 items
E43 1 items
E47 1 items
E58 1 items
E62 1 items
F41 1 items
F44 1 items
G21 1 items
G38 1 items
H31 1 items
H63 1 items
I12 1 items
J14 1 items
J24 1 items
J26 1 items
L14 1 items
show more (46)
show less
FILTER BY Keywords
Computational methods 4 items
Rational inattention 4 items
business cycles 3 items
heterogeneous agents 3 items
information acquisition 3 items
Occasionally binding constraints 3 items
Computation 2 items
Dynamic programming 2 items
Linear Rational Expectations Models 2 items
Monetary Policy Shocks 2 items
New Keynesian Model 2 items
Sylvester Matrix Equation 2 items
financial frictions 2 items
learning. 2 items
private information 2 items
Optimal Policy 2 items
Regime switching 2 items
Adverse selection 1 items
Asymmetric 1 items
Autoregressive 1 items
Bayesian learning 1 items
Bayesian methods 1 items
CDO 1 items
COVID-19 1 items
Commitment 1 items
Computation of equilibrium 1 items
Coronavirus 1 items
Curse of Dimensionality 1 items
DSGE 1 items
Disability 1 items
Discrete Choice 1 items
Discretion 1 items
Discretization 1 items
Dynamic Equilibrium Economies 1 items
Econometric modeling 1 items
Endogenous grid 1 items
Epidemics 1 items
Finite-Order Vector Autoregressive Representation 1 items
General Equilibrium 1 items
General equilibrium models 1 items
Growth rate 1 items
Indeterminacy 1 items
Inflation target 1 items
Information 1 items
Interbank markets 1 items
LSAP 1 items
Lemons 1 items
Life-cycle modeling 1 items
Macroeconomic uncertainty 1 items
Markov chain approximation 1 items
Mathematical and quantitative methods 1 items
Measurement error 1 items
Mismeasurement 1 items
Monetary policy 1 items
Monotonicity 1 items
Multiplicity of equilibrium 1 items
New Keynesian 1 items
Numerical methods 1 items
Occupational choice 1 items
Particle filter 1 items
Perturbation 1 items
Perturbation methods 1 items
Phillips curve 1 items
Policy analysis 1 items
Policy function iteration 1 items
Reproduction number 1 items
Retirement 1 items
Risky steady state 1 items
SEIR Model 1 items
Securitization 1 items
Shannon entropy 1 items
Solution error 1 items
Solving dynamic equilibrium models 1 items
Sovereign Default 1 items
Stochastic Volatility 1 items
Stochastic simulation 1 items
Taste Shocks 1 items
Taylor rule 1 items
Time iteration 1 items
Time-varying risk premia 1 items
Uncertainty 1 items
Uniqueness of equilibrium 1 items
VAR 1 items
Vector Autoregression Representation 1 items
Yield curve 1 items
aggregate fluctuations 1 items
conditional Value-at-Risk 1 items
consideration sets 1 items
debt financing 1 items
dynamic striation adjustments 1 items
effective sample size 1 items
entropy 1 items
exit rates 1 items
government spending 1 items
importance weights 1 items
incentives 1 items
independent striated draws 1 items
intermediation 1 items
irregular posterior distribution 1 items
learning 1 items
macroeconomic volatility 1 items
market concentration 1 items
markups 1 items
monopsony power in the labor market 1 items
multiple peaks 1 items
networks 1 items
optimal contracts 1 items
optimization 1 items
preferred habitat forward guidance 1 items
private information 1 items
quantitative easing 1 items
risk measures 1 items
risk sharing 1 items
scenario analyses 1 items
search complementarities 1 items
simultaneous equations 1 items
solution methods 1 items
sovereign debts 1 items
stochastic programming 1 items
strategic complementarities 1 items
superstar firms 1 items
sustainability 1 items
systemic risk 1 items
technology growth 1 items
tempered posterior density 1 items
winding ridges 1 items
show more (126)
show less