| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP94 |
| DP94 Credibility and Time Inconsistency in a Stochastic World | |
| Jane Rapson; Paul Levine | |
| 发表日期 | 1986-02-01 |
| 出版年 | 1986 |
| 语种 | 英语 |
| 摘要 | This paper re-examines the issue of the credibility and sustainability of optimal policies derived from Pontryagin's Maximum Principle and generally regarded as time-inconsistent, in models with forward-looking rational expectations. Specifically, it considers the behaviour of such models in the presence of continuing stochastic noise. This is shown to convert the policy problem from a one-shot dynamic policy game to a continuing game, giving governments an incentive to invest in a reputation for not reneging on the full optimal rule. This incentive may, in certain circumstances, render the full optimal rule credible and therefore sustainable. It is demonstrated that a sufficiently low degree of discounting on the part of government, or a sufficiently high variance of shocks (measured relative to the initial displacement) ensures the sustainability of the full optimal rule. Using a simple dynamic open economy model, these conditions are shown to be plausible unless the discount rate is very high. |
| 主题 | International Macroeconomics |
| 关键词 | Optimal policy Policy credibility Policy sustainability Time consistency |
| URL | https://cepr.org/publications/dp94 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529250 |
| 推荐引用方式 GB/T 7714 | Jane Rapson,Paul Levine. DP94 Credibility and Time Inconsistency in a Stochastic World. 1986. |
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