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ID:7323545
大小:261.61 KB
页数:22页
时间:2018-02-11
《dynamic stackelberg problems》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、Chapter19DynamicStackelbergProblems19.1.HistorydependencePreviouschaptersdescribeddecisionproblemsthatarerecursiveinwhatwecancall“natural”statevariables,i.e.,statevariablesthatdescribestocksofcapital,wealth,andinformationthathelpsforecastfuturevaluesofpricesand
2、quantitiesthatimpingeonfutureutilitiesorprofits.Inproblemsthatarerecursiveinthenaturalstatevariables,optimaldecisionrulesarefunctionsofthenaturalstatevariables.Thischapterisourfirstencounterwithaclassofproblemsthatarenotrecursiveinthenaturalstatevariables.Kydland
3、andPrescott(1977),Prescott(1977),andCalvo(1978)gavemacroeconomicexamplesofdecisionproblemswhosesolutionsexhibitedtimeinconsistencybecausetheyarenotrecursiveinthenaturalstatevariables.Thoseauthorsstudiedthedecisionproblemofalargeagent(agovernment)thatconfrontsac
4、ompetitivemarketcomposedofmanysmallprivateagentswhosedecisionsareinfluencedbytheirforecastsofthegovernment’sfutureactions.Insuchsettings,thenaturalstatevariablesofprivateagentsattimetarepartlyshapedbypastdecisionsthatwerein-fluencedbytheirearlierforecastsofthegov
5、ernment’sactionattimet.Inarationalexpectationsequilibrium,thegovernmentonaverageconfirmsprivateagents’earlierforecastsofthegovernment’stimetactions.Thisrequirementtoconfirmpriorforecastsputsconstraintsonthegovernment’stimetdecisionsthatpreventitsproblemfrombeingr
6、ecursiveinnaturalstatevariables.Theseadditionalconstraintsmakethegovernment’sdecisionruleattdependontheentirehistoryofthestatefromtime0totimet.Ittooksometimeforeconomiststofigureouthowtoformulatepolicyproblemsofthistyperecursively.Prescott(1977)assertedthatrecur
7、siveopti-malcontroltheorydoesnotapplytoproblemswiththisstructure.Thischapterandchapters20and23showhowPrescott’spessimismabouttheinapplicability–775–776DynamicStackelbergProblemsofoptimalcontroltheoryhasbeenoverturnedbymorerecentwork.1Animpor-tantfindingisthatift
8、henaturalstatevariablesareaugmentedwithadditionalstatevariablesthatmeasurecostsintermsofthegovernment’scurrentcon-tinuationvalueofconfirmingpastprivatesectorexpectationsabout
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