# a simple introduction to dynamic programming in macroeconomic models

A Simple Introduction to Dynamic Programming in Macroeconomic Models Ian King* Department of Economics University of Auckland Auckland New Zealand April 2002 (October 1987) Abstract This is intended as a very basic introduction to the mathematical methods used in Thomas Sargent's book Dynamic Macroeconomic Theory. Dynamic programming Martin Ellison 1Motivation Dynamic programming is one of the most fundamental building blocks of modern macroeconomics. See general information about how to correct material in RePEc. Introduction to Dynamic Programming. Outline Motivation Why Dynamic Programming ... simple as well as full-edged. ABCs of RBCs : An Introduction to Dynamic Macroeconomic Models, Hardcover by McCandless, George T., ISBN 0674028147, ISBN-13 9780674028142, Brand New, Free shipping in the US The first book to provide a basic introduction to Real Business Cycle (RBC) and New-Keynesian models is designed to teach the economic practitioner or student how to build simple RBC models. Questions or problems? Models like the DSGE include frameworks that seek to predict the effects of changes in economic policy, while the ACE models aim to understand macroeconomic relations by going somewhat in detail on a microeconomic level. Books and Chapters The ABCs of RBCs is the first book to provide a basic introduction to Real Business Cycle (RBC) and New-Keynesian models. Abstract. It assumes that readers have no further mathematical background than an undergraduate "Mathematics for Economists" course. HTML/Text, Persistent link: https://EconPapers.repec.org/RePEc:auc:wpaper:190. Introduction to Dynamic Programming¶ We have studied the theory of dynamic programming in discrete time under certainty. Dynamic Programming I: Theory I LS, Chapter 3 (Extended with King (2002) “A Simple Introduction to Dynamic Programming in Macroeconomic Models”) Julen Esteban-Pretel National Graduate Institute for Policy Studies. Abstract: This is intended as a very basic introduction to the mathematical methods used in Thomas Sargent's book Dynamic Macroeconomic Theory. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. Dynamic programming has strong similarities with optimal control, a competing approach to dynamic optimization. Public profiles for Economics researchers, Various rankings of research in Economics & related fields, Curated articles & papers on various economics topics, Upload your paper to be listed on RePEc and IDEAS, RePEc working paper series dedicated to the job market, Pretend you are at the helm of an economics department, Data, research, apps & more from the St. Louis Fed, Initiative for open bibliographies in Economics, Have your institution's/publisher's output listed on RePEc. Wherever we see a recursive solution that has repeated calls for same inputs, we can optimize it using Dynamic Programming. It contains sections on deterministic finite horizon models, deterministic infinite horizon models, and stochastic infinite horizon models. It applies the relevant We want to find a sequence $$\{x_t\}_{t=0}^\infty$$ and a function $$V^*:X\to\mathbb{R}$$ such that Suggested Citation. King, Ian, 2002. introduction to dynamic macroeconomic theory pdf October 9, 2020 in Uncategorized Chapter 4 presents a self - contained introduction to dynamic macroeconomic This is a book on stochastic dynamic macroeconomics from a Keynesian perspective. "Real Business Cycles," Journal of Political Economy, University of … All material on this site has been provided by the respective publishers and authors. Long, John B, Jr & Plosser, Charles I, 1983. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. Ljungqvist, L. and Sargent, T. (2012). It gives us the tools and techniques to analyse (usually numerically but often analytically) a whole class of models in which the problems faced by economic agents have a recursive nature. These models argue that random shocks--new inventions, droughts, and wars, in the case of pure RBC models, and monetary and fiscal policy and international investor risk aversion, in more open interpretations--can trigger booms and recessions and can ac Recursive Macroeconomic Theory, 3rd Edition, MIT Press. It contains sections on deterministic finite horizon models, deterministic infinite horizon models, and stochastic infinite … The writing is exceptionally clear. It assumes that readers have no further mathematical background than an … The RePEc plagiarism page, Ian King (Obfuscate( 'uq.edu.au', 'i.king' )), No 190, Working Papers from Department of Economics, The University of Auckland. u. General contact details of provider: http://edirc.repec.org/data/deaucnz.html . Export reference: BibTeX The ABCs of RBCs. Department of Economics, The University of Auckland, https://EconPapers.repec.org/RePEc:auc:wpaper:190. This allows to link your profile to this item. When requesting a correction, please mention this item's handle: RePEc:auc:wpaper:190. This book oﬀers its readers a step-by-step introduction to aspects of macroeconomic engineering, individual optimization techniques and modern approaches to macroeconomic equilibrium modeling. contribute. This note explains the following topics: Simple Representative Agent Models, Growth With Overlapping Generations, Neoclassical Growth and Dynamic Programming, Endogenous Growth , Choice Under Uncertainty, Consumption and Asset Pricing, Search, Money and Unemployment, Overlapping Generations Models of Money, A Cash-In-Advance Model. These models are usually designed to examine the comparative statics and dynamics of aggregate quantities such as the total amount of goods and services produced, total income earned, the level of employment of productive resources, and the level of prices. Introduction This is a simple guide to deterministic dynamic programming. The course is the first in the three-part 416 series. The course focuses on a mixture of methodological tools and economic substance relevant to empirical macroeconomics. Introduction to Dynamic Macroeconomic Theory will become a classic of economic exposition and a standard teaching and reference tool for intertemporal macroeconomics and the overlapping generations model. Software Components, EconPapers FAQ The form of the CIA constraint depends on which transactions are considered to be included in that constraint (Walsh, 2010). f(u(t),x(t))e−ρtdt where ρ > 0, subject to the instantaneous budget constraint and the initial state dx dt ≡ x˙(t) = g(x(t),u(t)), t ≥ 0 x(0) = x0given hold. An Introduction to Dynamic Programming Jin Cao Macroeconomics (Research, WS10/11) November, 2010. Is your work missing from RePEc? One of the key techniques in modern quantitative macroeconomics is dynamic programming. Related works:This item may be available elsewhere in EconPapers: Search for items with the same title. ECON7020: MACROECONOMIC THEORY I Martin Boileau A CHILD'S GUIDE TO DYNAMIC PROGRAMMING 1. Notes on Macroeconomic Theory. In such systems, the significance of various structural components to the behavior pattern exhibited, changes as the behavior unfolds. Chapters 3, 4 and 5. RIS (EndNote, ProCite, RefMan) An Introduction to Dynamic Macroeconomic Models, Harvard Let's review what we know so far, so that we can start thinking about how to take to the computer. By applying the principle of the dynamic programming the ﬁrst order condi- tions for this problem are given by the HJB equation ρV(x) = max. This model was set up to study a closed economy, and we will assume that there is a constant population. The book is really simple to follow and also is a perfect guide for the homeworks I faced in my research program in matlab. Check the EconPapers FAQ or send mail to Obfuscate( 'oru.se', 'econpapers' ). It contains sections on deterministic finite horizon models, deterministic infinite horizon models, and stochastic infinite horizon models. We have no references for this item. "A Simple Introduction to Dynamic Programming in Macroeconomic Models," Working Papers 190, Department of Economics, The University of Auckland. The idea is to simply store the results of subproblems, so that we do not have to … Ian King (Auckland), A Simple Introduction to Dynamic Programming in Macroeconomic Models Paul Klein (Western Ontario), Solving the Growth Model by Linearizing the Euler Equations Dirk Krüger (Frankfurt), Macroeconomic Theory Dirk Krüger (Frankfurt), Quantitative Macroeconomics: An Introduction Date Thu 29 December 2016 Tags Macroeconomics / IPython / Notebooks. 2.1 The model The model consists of some simple equations: Abstract. References: Add references at CitEc Citations: View citations in EconPapers (1) Track citations by RSS feed, Downloads: (external link)http://hdl.handle.net/2292/190. Dynamic programming ha s its roots in the work of Bellman (1957), while It assumes that readers have no further mathematical background than an undergraduate "Mathematics for Economists" course. A Simple Introduction to Dynamic Programming in Macroeconomic Models. Here is how to This is intended as a very basic introduction to the mathematical methods used in Thomas Sargent's book Dynamic Macroeconomic Theory. The Problem. John Maynard Keynes. The chapter covers both the deterministic and stochastic dynamic programming. recursive This is intended as a very basic introduction to the mathematical methods used in Thomas Sargent's book Dynamic Macroeconomic Theory. ... An Introduction to Dynamic Programming The ABCs of RBCs is the first book to provide a basic introduction to Real Business Cycle (RBC) and New-Keynesian models. Please note that corrections may take a couple of weeks to filter through King, Ian (2002). Fully worked out examples are also provided. The main reference will be Stokey et al., chapters 2-4. As a –rst economic application the model will be enriched by technology shocks to develop the It takes you through the computational part of RBC with a lot of examples and code, I totally recommend it for the ones who which to start programming the macro models … the various RePEc services. “A Simple Introduction to Dynamic Programming in Macroeconomic Models,” mimeo, University of Auckland. It assumes that readers have no further Abstract: This is intended as a very basic introduction to the mathematical methods used in Thomas Sargent's book Dynamic Macroeconomic Theory. A macroeconomic model is an analytical tool designed to describe the operation of the problems of economy of a country or a region. It also allows you to accept potential citations to this item that we are uncertain about. model will –rst be presented in discrete time to discuss discrete-time dynamic programming techniques; both theoretical as well as computational in nature. Date: 2002 Advanced Macroeconomics: Estimation and Analysis of Dynamic Macroeconomic Models. The purpose of the System Dynamics method is to study the relationship between structure and behavior in non-linear, dynamic systems. Let's review what we know so far, so that we can start thinking about how to take to the computer. Fully worked out examples are also provided. Macroeconomic models, such as STMs, are composed of diagrams and/or equations and deal with several variables. It assumes that readers have no further mathematical background than an undergraduate "Mathematics for Economists" course. Cookies at EconPapers, The RePEc blog Either formulated as a social planner’s problem or formulated as an equilibrium problem, with each agent maximiz- A Simple Introduction to Dynamic Programming in Macroeconomic Models, Dynamic Programming: An Introduction by Example. Chapter 1 Simple Representative Agent Models This chapter deals with the simplest kind of macroeconomic model, which abstracts from all issues of heterogeneity and distribution among McCandless, George (2008). You can help adding them by using this form . The ABCs of RBCs is the first book to provide a basic introduction to Real Business Cycle (RBC) and New-Keynesian models. Ãrebro University School of Business. EconPapers Home Most modern dynamic models of macroeconomics build on the framework described in Solow’s (1956) paper.1 To motivate what is to follow, we start with a brief description of the Solow model. 2. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Library Digital Development). EconPapers is hosted by the Dynamic Programming Quantitative Macroeconomics Raul Santaeul alia-Llopis MOVE-UAB and Barcelona GSE Fall 2018 Raul Santaeul alia-Llopis(MOVE-UAB,BGSE) QM: Dynamic Programming … Changes in structural significance modify that behavior pattern which, in turn, feeds back to change the relative significance … STM models … Ian King () No 190, Working Papers from Department of Economics, The University of Auckland. | At least one can get numerical results. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation. Journal Articles About EconPapers, Working Papers A Simple Introduction to Dynamic Programming in Macroeconomic Models Author. 1.1 Basic Idea of Dynamic Programming Most models in macroeconomics, and more speci ﬁcally most models we will see in the macroeconomic analysis of labor markets, will be dynamic, either in discrete or in continuous time. Keywords: Economics (search for similar items in EconPapers) We have studied the theory of dynamic programming in discrete time under certainty. Dynamic Programming is mainly an optimization over plain recursion. These include aggregate measures, such as gross domestic product and unemployment rates. In what follows, I borrow freely from King (1987) and Sargent (1987). Abstract: Notes on Macroeconomic Theory Steve Williamson Dept. The course evaluation is based on a midterm, a final and weekly homeworks. Archive maintainers FAQ of Economics Washington University in St. Louis St. Louis, MO 63130 September 2006. This chapter provides a succinct but comprehensive introduction to the technique of dynamic programming. economy’s dynamic behavior very diﬀerent from the simple juxtaposition of its inhabitant’s actions and objectives. You can help correct errors and omissions. More papers in Working Papers from Department of Economics, The University of Auckland Contact information at EDIRC.Bibliographic data for series maintained by Library Digital Development (Obfuscate( 'auckland.ac.nz', 'digital.development' )). Boileau a CHILD 's GUIDE to Dynamic Programming¶ we have studied the Theory of Dynamic Macroeconomic models and we assume... A couple of weeks to filter through the various RePEc services 2010 ) publishers... Will be Stokey et al., chapters 2-4 be available elsewhere in EconPapers: Search for items with same. Abstract: this item I borrow freely from King ( ) no,! Mo 63130 September 2006 we are uncertain about a correction, please mention this item 's handle RePEc. 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