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Merge pull request #1139 from JohannesPfeifer/Ramsey_documentation 

Correct manual on Ramsey
time-shift
MichelJuillard 2017-01-08 20:03:59 +01:00 committed by GitHub
parent 7fb7dd7ccc 901121fe30
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@ -8052,11 +8052,10 @@ end;
This command computes the first order approximation of the policy that
maximizes the policy maker's objective function subject to the
constraints provided by the equilibrium path of the private economy and under
commitment to this optimal policy. Following @cite{Woodford (1999)}, the Ramsey
policy is computed using a timeless perspective. That is, the government forgoes
its first-period advantage and does not exploit the preset privates sector expectations
(which are the source of the well-known time inconsistency that requires the
assumption of commitment). Rather, it acts as if the initial multipliers had
commitment to this optimal policy. The Ramsey policy is computed
by approximating the equilibrium system around the perturbation point where the
Lagrange multipliers are at their steady state, i.e. where the Ramsey planner acts
as if the initial multipliers had
been set to 0 in the distant past, giving them time to converge to their steady
state value. Consequently, the optimal decision rules are computed around this steady state
of the endogenous variables and the Lagrange multipliers.
@ -8113,14 +8112,16 @@ In addition, it stores the value of planner objective function under
Ramsey policy in @code{oo_.planner_objective_value}, given the initial values
of the endogenous state variables. If not specified with @code{histval}, they are
taken to be at their steady state values. The result is a 1 by 2
vector, where the first entry stores the value of the planner objective under
the timeless perspective to Ramsey policy, i.e. where the initial Lagrange
vector, where the first entry stores the value of the planner objective when the initial Lagrange
multipliers associated with the planner's problem are set to their steady state
values (@pxref{ramsey_policy}).
In contrast, the second entry stores the value of the planner objective with
initial Lagrange multipliers of the planner's problem set to 0, i.e. it is assumed
that the planner succumbs to the temptation to exploit the preset private expecatations
in the first period (but not in later periods due to commitment).
that the planner exploits its ability to surprise private agents in the first
period of implementing Ramsey policy. This is the value of implementating
optimal policy for the first time and committing not to re-optimize in the future.
Because it entails computing at least a second order approximation, this
computation is skipped with a message when the model is too large (more than 180 state
variables, including lagged Lagrange multipliers).
@ -14392,11 +14393,6 @@ Villemot, Sébastien (2011): ``Solving rational expectations models at
first order: what Dynare does,'' @i{Dynare Working Papers}, 2,
CEPREMAP
@item
Woodford, Michael (2011): ``Commentary: How Should Monetary Policy Be
Conducted in an Era of Price Stability?'' @i{Proceedings - Economic Policy Symposium - Jackson Hole},
277-316
@end itemize