Exercises in Dynamic Macroeconomic Theory
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Exercises in Dynamic Macroeconomic Theory

Exercises in Dynamic Macroeconomic Theory

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About the Book

This book is a companion volume to Dynamic Macroeconomic Theory by Thomas J. Sargent. It provides scrimmages in dynamic macroeconomic theory--precisely the kind of drills that people will need in order to learn the techniques of dynamic programming and its applications to economics. By doing these exercises, the reader can acquire the ability to put the theory to work in a variety of new situations, build technical skill, gain experience in fruitful ways of setting up problems, and learn to distinguish cases in which problems are well posed from cases in which they are not. The basic framework provided by variants of a dynamic general equilibrium model is used to analyze problems in macroeconomics and monetary economics. An equilibrium model provides a mapping from parameters of preferences, technologies, endowments, and "rules of the game" to a probability model for time series. The rigor of the logical connections between theory and observations that the mapping provides is an attractive feature of dynamic equilibrium, or "rational expectations," models. This book gives repeated and varied practice in constructing and interpreting this mapping.

Table of Contents:
1. Dynamic Programming Brock-Mirman (1972) Howard Policy-Improvement Algorithm Levhari-Srinivasan (1969) Habit Persistence: 1 Habit Persistence: 2 Lucas and Prescott (1971) and Kydland and Prescott (1982) Meet a Linear Regulator Interrelated Factor Demand Two-Sector Growth Models Learning to Enjoy Spare Time Investment with Adjustment Costs Investment with Signal Extraction 2. Search Being Unemployed with Only a Chance of an Offer Two Offers per Period A Random Number of Offers per Period Cyclical Fluctuations in Number of Job Offers Choosing the Number of Offers Mortensen Externality Variable Labor Supply Wage Growth Rate and the Reservation Wage Search with a Finite Horizon Finite Horizon and Mean-Preserving Spread Pissarides' Analysis of Taxation and Variable Search Intensity Search and Nonhuman Wealth Search and Asset Accumulation 3. Asset Prices and Consumption Taxation and Stock Prices Contingent Claims Prices in a Brock-Mirman Economy Trees (Stocks) in the Utility Function Government Debt in the Utility Function Tobin's q A Generalization of Logarithmic Preferences Arbitrage Pricing Modigliani-Miller Arbitrage Pricing and the Term Structure of Interest Rates Pricing One-Period Options Pricing n-Period Options 4. Currency in the Utility Function (no exercises) 5. Cash-in-Advance Models Private Wealth Unpleasant Monetarist Arithmetic A Permanent (McCallum) Government Deficit A Useful Identity under Interest on Reserves Defining the State Vector Computing an Equilibrium Interest on Reserves and Stock Prices Incentives for "Private Currencies" Other Interest-on-Reserve Schemes Stock Prices and Inflation 6. Credit and Currency with Long-Lived Agents Value of Unbacked Currency Computing Equilibrium Interest Rates "Self-Insurance" and the Permanent Income Theory The Distribution of Currency Rate-of-Return Dominance 7. Credit and Currency with Overlapping Generations Credit Controls Inside Money and Real Bills Social Security and the Price Level Seignorage Oscillating Physical Returns Indeterminacy of Exchange Rates Asset Prices and Volatility Unpleasant Monetarist Arithmetic Grandmont Bryant-Wallace 8. Government Finance in Stochastic Overlapping-Generations Models A Version of Kareken-Wallace Exchange Rate Indeterminacy The Term Structure of State-Contingent Claims Wairas's Law: 1 Wairas's Law: 2 Constancy of Fiscal Policy Altered Version of Logarithmic Preferences Appendix. Functional Analysis for Macroeconomics Periodic Difference Equation Asset Pricing Index


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Product Details
  • ISBN-13: 9780674274761
  • Publisher: Harvard University Press
  • Publisher Imprint: Harvard University Press
  • Height: 235 mm
  • No of Pages: 238
  • Returnable: Y
  • Returnable: Y
  • Returnable: Y
  • Weight: 363 gr
  • ISBN-10: 0674274768
  • Publisher Date: 08 Jun 1987
  • Binding: Paperback
  • Language: English
  • Returnable: Y
  • Returnable: Y
  • Returnable: Y
  • Spine Width: 18 mm
  • Width: 156 mm


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