Recursive Macroeconomic Theory

by Ljungqvist, Lars; Sargent, Thomas J.

• ISBN13: 9780262122740
• ISBN10: 026212274X
• Edition: 2nd
• Format: Hardcover
• Copyright: 2004-09-01
• Publisher: Mit Pr

Summary

Recursive methods offer a powerful approach for characterizing and solving complicated problems in dynamic macroeconomics. Recursive Macroeconomic Theoryprovides both an introduction to recursive methods and advanced material, mixing tools and sample applications. The second edition contains substantial revisions to about half the original material, and extensive additional coverage appears in seven chapters new to this edition. The updated and added material covers exciting new topics that further illustrate the power and pervasiveness of recursive methods. Significant improvements to original chapters include a better treatment of the existence of recursive equilibria, an enhanced account of the supermartingale convergence theorem, and an extended treatment of an optimal taxation problem in an economy in which there are incomplete markets. Completely new coverage in the second edition includes an introductory chapter, which gives an overview of the themes uniting the diverse topics treated throughout the book. Two new chapters offer a self-contained account of the optimal growth model and some of its basic applications in macroeconomics and public finance. Other new chapters cover such topics as how to formulate and compute Stackelberg or Ramsey plans in linear economies, sustainable risk-sharing equilibria without commitment, and the application of recursive contracts to topics in international trade. Most chapters conclude with exercises and the book includes two technical appendixes covering functional analysis and control and filtering.

Author Biography

Thomas J. Sargent is Berkley Professor of Economics and Business at New York University and Senior Fellow at the Hoover Institution.

Table of Contents

Acknowledgements	p. xvii
Preface to the second edition	p. xviii
The imperialism of recursive methods
Overview	p. 3
Tools
Time Series	p. 29
Dynamic Programming	p. 85
Practical Dynamic Programming	p. 95
Linear-Quadratic Dynamic Programming	p. 109
Search, Matching, and Unemployment	p. 139
Competitive equilibria and applications
Recursive (Partial) Equilibrium	p. 191
Equilibrium with Complete Markets	p. 208
Overlapping Generations Models	p. 264
Ricardian Equivalence	p. 312
Fiscal Policies in the Growth Model	p. 323
Recursive Competitive Equilibria	p. 366
Asset Pricing	p. 392
Economic Growth	p. 449
Optimal Taxation with Commitment	p. 478
The savings problem and Bewley models
Self-Insurance	p. 545
Incomplete Markets Models	p. 566
Recursive contracts
Dynamic Stackelberg Problems	p. 615
Insurance Versus Incentives	p. 636
Equilibrium without Commitment	p. 697
Optimal Unemployment Insurance	p. 751
Credible Government Policies	p. 773
Two Topics in International Trade	p. 820
Classical monetary economics and search
Fiscal-Monetary Theories of Inflation	p. 857
Credit and Currency	p. 904
Equilibrium Search and Matching	p. 940
Technical appendixes
Functional Analysis	p. 1005
Control and Filtering	p. 1017
References	p. 1044
Index	p. 1072
Author Index	p. 1077
Matlab Index	p. 1082
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