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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
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@ -8052,11 +8052,10 @@ end;
This command computes the first order approximation of the policy that This command computes the first order approximation of the policy that
maximizes the policy maker's objective function subject to the maximizes the policy maker's objective function subject to the
constraints provided by the equilibrium path of the private economy and under constraints provided by the equilibrium path of the private economy and under
commitment to this optimal policy. Following @cite{Woodford (1999)}, the Ramsey commitment to this optimal policy. The Ramsey policy is computed
policy is computed using a timeless perspective. That is, the government forgoes by approximating the equilibrium system around the perturbation point where the
its first-period advantage and does not exploit the preset privates sector expectations Lagrange multipliers are at their steady state, i.e. where the Ramsey planner acts
(which are the source of the well-known time inconsistency that requires the as if the initial multipliers had
assumption of commitment). Rather, it acts as if the initial multipliers had
been set to 0 in the distant past, giving them time to converge to their steady 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 state value. Consequently, the optimal decision rules are computed around this steady state
of the endogenous variables and the Lagrange multipliers. 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 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 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 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 vector, where the first entry stores the value of the planner objective when the initial Lagrange
the timeless perspective to Ramsey policy, i.e. where the initial Lagrange
multipliers associated with the planner's problem are set to their steady state multipliers associated with the planner's problem are set to their steady state
values (@pxref{ramsey_policy}). values (@pxref{ramsey_policy}).
In contrast, the second entry stores the value of the planner objective with 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 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 that the planner exploits its ability to surprise private agents in the first
in the first period (but not in later periods due to commitment). 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 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 computation is skipped with a message when the model is too large (more than 180 state
variables, including lagged Lagrange multipliers). 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, first order: what Dynare does,'' @i{Dynare Working Papers}, 2,
CEPREMAP 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 @end itemize