| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP308 |
| DP308 Solving Stochastic Saddlepoint Systems: A Qualitative Treatment with Economic Applications | |
| Marcus Miller; Paul Weller | |
| 发表日期 | 1989-04-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | We examine the effect of introducing stochastic shocks into a linear rational expectations model with saddlepoint dynamics generated by a forward looking asset price. We derive the fundamental differential equation governing the path of the asset price as a function of the 'sluggish' variable. The equation does not admit of closed form solutions in general, but we provide a complete qualitative characterization of the solution paths which are symmetric about equilibrium. The first application analyzes how financial markets might react to the implementation of fiscal stabilization policy where public expenditures are only adjusted when GNP moves outside a threshold around a target level. The second application examines exchange rate behavior in the presence of a currency subject to a known realignment rule requiring an adjustment to monetary polic. |
| 主题 | International Macroeconomics |
| 关键词 | Asset prices Dynamic model Expectations Linear model Stochastic shocks |
| URL | https://cepr.org/publications/dp308 |
| 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/529460 |
| 推荐引用方式 GB/T 7714 | Marcus Miller,Paul Weller. DP308 Solving Stochastic Saddlepoint Systems: A Qualitative Treatment with Economic Applications. 1989. |
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