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Optimal control of large, forward-looking models efficient solutions and two examples

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  • Frederico S. Finan
  • Robert Tetlow

Abstract

An optimal control tool is described that is particularly useful for computing rules of large-scale models where users might otherwise have difficulty determining the state vector a priori and where the inversion of large, sparse matrices is involved. A small-scale demonstration is presented, as are data on performance with the Board of Governors large-scale rational expectations macroeconometric model, FRB/US.

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File URL: http://www.federalreserve.gov/pubs/feds/1999/199951/199951abs.html
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File URL: http://www.federalreserve.gov/pubs/feds/1999/199951/199951pap.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 1999-51.

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Date of creation: 1999
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Handle: RePEc:fip:fedgfe:1999-51

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Keywords: Econometric models ; Macroeconomics;

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Cited by:
  1. ALISTAIR DIEPPE & KEITH KÜSTER & PETER McADAM, 2005. "Optimal Monetary Policy Rules for the Euro Area: An Analysis Using the Area Wide Model," Journal of Common Market Studies, Wiley Blackwell, vol. 43(3), pages 507-537, 09.
  2. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010. "Welfare-maximizing monetary policy under parameter uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143.
  3. Coenen, Gunter, 2007. "Inflation persistence and robust monetary policy design," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 111-140, January.
  4. International Monetary Fund, 2005. "Inflation Targeting and Output Growth," IMF Working Papers 05/89, International Monetary Fund.
  5. Richard Johnson, 2001. "Fiscal reaction rules in numerical macro models," Research Working Paper RWP 01-01, Federal Reserve Bank of Kansas City.
  6. Nicholas Apergis & Stephen M. Miller & Alexandros Panethimitakis & Athanassios Vamvakidis, 2005. "Inflation Targeting and Output Growth: Evidence from Aggregate European Data," Working papers 2005-06, University of Connecticut, Department of Economics.

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