| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w28712
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| 来源ID | Working Paper 28712
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| Policy with Stochastic Hysteresis |
| Georgii Riabov; Aleh Tsyvinski
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| 发表日期 | 2021-04-26
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| 出版年 | 2021
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| 语种 | 英语
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| 摘要 | The paper develops a general methodology for analyzing policies with path-dependency (hysteresis) in stochastic models with forward looking optimizing agents. Our main application is a macro-climate model with a path-dependent climate externality. We derive in closed form the dynamics of the optimal Pigouvian tax, that is, its drift and diffusion coefficients. The dynamics of the present marginal damages is given by the recently developed functional Itô formula. The dynamics of the conditional expectation process of the future marginal damages is given by a new total derivative formula that we prove. The total derivative formula represents the evolution of the conditional expectation process as a sum of the expected dynamics of hysteresis with respect to time, a form of a time derivative, and the expected dynamics of hysteresis with the shocks to the trajectory of the stochastic process, a form of a stochastic derivative. We then generalize the results. First, we propose a general class of hysteresis functionals that permits significant tractability. Second, we characterize in closed form the dynamics of the stochastic hysteresis elasticity that represents the change in the whole optimal policy process with an introduction of small hysteresis effects. Third, we determine the optimal policy process. |
| 主题 | Macroeconomics
; Public Economics
; Taxation
; Environmental and Resource Economics
; Energy
; Environment
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| URL | https://www.nber.org/papers/w28712
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586385
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推荐引用方式
GB/T 7714 |
Georgii Riabov,Aleh Tsyvinski. Policy with Stochastic Hysteresis. 2021.
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文件名：
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w28712.pdf
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格式：
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Adobe PDF
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