recursive macroeconomic theory

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1、RecursiveMacroeconomicTheoryThirdeditionToourparents,Zabrina,andCarolynRecursiveMacroeconomicTheoryThirdeditionLarsLjungqvistStockholmSchoolofEconomicsThomasJ.SargentNewYorkUniversityandHooverInstitutionTheMITPressCambridge,MassachusettsLondon,Englandc2012MassachusettsInstitut

2、eofTechnologyAllrightsreserved.Nopartofthisbookmaybereproducedinanyformbyanyelectronicormechanicalmeans(includingphotocopying,recording,orinformationstorageandretrieval)withoutpermissioninwritingfromthepublisher.PrintedandboundintheUnitedStatesofAmerica.LibraryofCongressCatalog

3、ing-in-PublicationDataLjungqvist,Lars.Recursivemacroeconomictheory/LarsLjungqvist,ThomasJ.Sargent.–3rded.p.cm.Includesbibliographicalreferencesandindex.ISBN978-0-262-01874-6(hbk.:alk.paper)1.Macroeconomics.2.Recursivefunctions.3.Staticsanddynamics(Socialsciences)I.Sargent,Thoma

4、sJ.II.Title.HB172.5.L592012339.01’51135–dc23201201660810987654321ContentsAcknowledgementsxixPrefacetothethirdeditionxxPartI:Theimperialismofrecursivemethods1.Overview31.1.Warning.1.2.Acommonancestor.1.3.Thesavingsproblem.1.3.1.Linearquadraticpermanentincometheory.1.3.2.Precauti

5、on-arysaving.1.3.3.Completemarkets,insurance,andthedistributionofwealth.1.3.4.Bewleymodels.1.3.5.Historydependenceinstandardconsumptionmodels.1.3.6.Growththeory.1.3.7.Limitingresultsfromdynamicoptimaltaxation.1.3.8.Assetpricing.1.3.9.Multipleassets.1.4.Recursivemethods.1.4.1.Me

6、thodology:dynamicprogrammingissuesachallenge.1.4.2.Dynamicprogrammingchallenged.1.4.3.Im-perialisticresponseofdynamicprogramming.1.4.4.Historydependenceand“dynamicprogrammingsquared”.1.4.5.Dynamicprincipal-agentproblems.1.4.6.Moreapplications.–v–viContentsPartII:Tools2.TimeSeri

7、es292.1.Twoworkhorses.2.2.Markovchains.2.2.1.Stationarydistri-butions.2.2.2.Asymptoticstationarity.2.2.3.Forecastingthestate.2.2.4.Forecastingfunctionsofthestate.2.2.5.Forecastingfunctions.2.2.6.Enoughone-step-aheadforecastsdetermineP.2.2.7.Invariantfunctionsandergodicity.2.2.8

8、.SimulatingaMarkovchain.2.2.9.Thelikelihoodfunction.2.