英文标题：
《A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous
Forcing Variables》
---
作者：
Jean-Bernard Chatelain, Kirsten Ralf
---
最新提交年份：
2017
---
英文摘要：
This algorithm extends Ljungqvist and Sargent (2012) algorithm of Stackelberg dynamic game to the case of dynamic stochastic general equilibrium models including exogenous forcing variables. It is based Anderson, Hansen, McGrattan, Sargent (1996) discounted augmented linear quadratic regulator. It adds an intermediate step in solving a Sylvester equation. Forward-looking variables are also optimally anchored on forcing variables. This simple algorithm calls for already programmed routines for Ricatti, Sylvester and Inverse matrix in Matlab and Scilab. A final step using a change of basis vector computes a vector auto regressive representation including Ramsey optimal policy rule function of lagged observable variables, when the exogenous forcing variables are not observable.
---
中文摘要：
该算法将Stackelberg动态博弈的Ljungqvist和Sargent（2012）算法扩展到包含外生强迫变量的动态随机一般均衡模型。它基于Anderson、Hansen、McGrattan、Sargent（1996）贴现增广线性二次调节器。它增加了求解Sylvester方程的中间步骤。前瞻性变量也最佳地锚定在强制变量上。这个简单的算法需要在Matlab和Scilab中为Ricatti、Sylvester和Inverse matrix编写已编程的例程。当外部强迫变量不可观测时，使用基向量变化的最后一步计算向量自回归表示，包括滞后可观测变量的拉姆齐最优策略规则函数。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

---
PDF下载：
-->