Florian Pelgrin - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T16:37:26+00:00Time-Consistent Control in Non-Linear Models
https://www.bankofcanada.ca/2007/02/working-paper-2007-3/
We show how to use optimal control theory to derive optimal time-consistent Markov-perfect government policies in nonlinear dynamic general equilibrium models, extending the result of Cohen and Michel (1988) for models with quadratic objective functions and linear dynamics. We replace private agents' costates by flexible functions of current states in the government's maximization problem.2007-02-03T10:42:23+00:00enTime-Consistent Control in Non-Linear Models2007-02-03Fiscal policyMonetary policy frameworkWorking Paper 2007-3 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-3.pdfTime-Consistent Control in Non-Linear ModelsSteve AmblerFlorian PelgrinFebruary 2007CC6C63EE6E61E62