Recursive Macroeconomic Theory

Couverture
MIT Press, 2004 - 1082 pages
Recursive methods offer a powerful approach for characterizing and solving complicated problems in dynamic macroeconomics. Recursive Macroeconomic Theory provides both an introduction to recursive methods and advanced material, mixing tools and sample applications. The second edition contains substantial revisions to about half the original material, and extensive additional coverage appears in seven chapters new to this edition. The updated and added material covers exciting new topics that further illustrate the power and pervasiveness of recursive methods. Significant improvements to original chapters include a better treatment of the existence of recursive equilibria, an enhanced account of the supermartingale convergence theorem, and an extended treatment of an optimal taxation problem in an economy in which there are incomplete markets. Completely new coverage in the second edition includes an introductory chapter, which gives an overview of the themes uniting the diverse topics treated throughout the book. Two new chapters offer a self-contained account of the optimal growth model and some of its basic applications in macroeconomics and public finance. Other new chapters cover such topics as how to formulate and compute Stackelberg or Ramsey plans in linear economies, sustainable risk-sharing equilibria without commitment, and the application of recursive contracts to topics in international trade. Most chapters conclude with exercises and the book includes two technical appendixes covering functional analysis and control and filtering.
 

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Table des matières

Overview
3
12 2 Explicit interest 17 12 3 The upper bound on
17
closed economy 19 7 Concluding remarks A Historical development
19
ary saving 1 3 3 Complete markets insurance and the distribution
25
Time Series
29
2 2 Asymptotic stationarity 2 2 3 Expectations 2 2 4 Fore
66
Dynamic Programming
85
Linear Quadratic Dynamic Programming
109
SelfInsurance
545
Incomplete Markets Models
566
Dynamic Stackelberg Problems
615
Insurance Versus Incentives
636
Equilibrium without Commitment
697
sion of the gains 20 6 Consumption distribution 20 6 1 Asymptotic
719
amnesia overwhelms
741
Credible Government Policies
773

Value function iteration 5 2 2 Discounted linear regulator problem
135
2 2 Meanpreserving spreads 6 3 McCalls model of intertem
169
Recursive Partial Equilibrium
191
Equilibrium with Complete Markets
208
no aggregate uncertainty 8 6 3 Example 3 periodic
231
Overlapping Generations Models
264
Ricardian Equivalence
312
2 2 Components of a competitive equilibrium 11 2 3
325
Recursive Competitive Equilibria
366
Asset Pricing
392
Economic Growth
449
tors reproducible 14 5 1 Onesector model 14 5 2 Twosector model
466
Recursive formulation 22 7 Subgame perfect equilibrium SPE 22 8
793
Selfenforcing SPE 22 10 1 The quest for something worse than rep
806
Two Topics in International Trade
820
FiscalMonetary Theories of Inflation
857
Credit and Currency
904
and endowments 25 3 Complete markets 25 3 1 A Pareto problem
933
Equilibrium Search and Matching
940
A Functional Analysis
1005
Introduction B 2 The optimal linear regulator control problem
1020
References
1044
Index
1072
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À propos de l'auteur (2004)

Thomas J. Sargent is Berkley Professor of Economics and Business at New York University and Senior Fellow at the Hoover Institution.

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