Recursive Macroeconomic Theory Second edition

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1、RecursiveMacroeconomicTheorySecondeditionRecursiveMacroeconomicTheorySecondeditionLarsLjungqvistStockholmSchoolofEconomicsThomasJ.SargentNewYorkUniversityandHooverInstitution
c2000MassachusettsInstituteofTechnologyAllrightsreserved.Nopartofthisbookmaybereproducedinanyformbyanyelectronicormechanica

2、lmeans(includingphotocopying,recording,orinformationstorageandretrieval)withoutpermissioninwritingfromthepublisher.PrintedandboundintheUnitedStatesofAmerica.LibraryofCongressCataloging-in-PublicationDataLjungqvist,Lars.Recursivemacroeconomictheory/LarsLjungqvist,ThomasJ.Sargent.p.cm.Includesbiblio

3、graphicalreferencesandindex.ISBN0-262-19451-11.Macroeconomics.2.Recursivefunctions.3.Staticsanddynamics(Socialsciences)I.Sargent,ThomasJ.II.Title.HB172.5.L592000339’.01’51135–dc2100-056067ContentsAcknowledgementsxviPrefacexviiPartI:Theimperialismofrecursivemethods1.Overview11.1.Acommonancestor.1.2

4、.Thesavingsproblem.1.2.1.Linear-quadraticpermanentincometheory.1.2.2.Precautionarysavings.1.2.3.Completemarkets,insurance,andthedistributionofwealth.1.2.4.Bewleymodels.1.2.5.Historydependenceinstandardconsumptionmodels.1.2.6.Growththeory.1.2.7.Limitingresultsfromdynamicoptimaltaxation.1.2.8.Assetp

5、ricing.1.2.9.Multipleassets.1.3.Recursivemethods.1.3.1.Methodology:dynamicprogrammingissuesachallenge.1.3.2.Dynamicprogrammingischallenged.1.3.3.Response:theimperialismofdynamicprogramming.1.3.4.Historydependenceand‘dynamicprogrammingsquared’.1.3.5.Dynamicprincipal-agentproblems.1.3.6.Moreapplicat

6、ions.PartII:Tools2.Timeseries242.1.Twoworkhorses.2.2.Markovchains.2.2.1.Stationarydistributions.2.2.2.Asymptoticstationarity.2.2.3.Expectations.2.2.4.Forecastingfunc-tions.2.2.5.Invariantfunctionsandergodicity.2.2.6.SimulatingaMarkovchain.2.2.7.Thelikelihoodfunction.2.3.ContinuousstateMarkovchain.

7、2.4.Stochasticlineardifferenceequations.2.4.1.Firstandsecondmoments.2.4.2.Impulseresponsefunction.2.4.3.Predictionanddiscounting.2.4.4.Geometricsumsofquadraticforms.2.5.Populationregression.2.5.1.Thespectrum.2.5.2