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Uzawa's Transformation and Optimal Control Problems With Variable Rates of Time Preference

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Author Info

  • Francis, J.
  • Kompas, T.

Abstract

Uzawa (1968) first introduced a simple and appealing method for reducing problems with variable rates of time preference to single-state systems by transforming the time scale from t to (delta's symbol), a utility discount factor. The purpose of this paper is to show that Uzawa's transformation is valid only when the underlying system to be analyzed is autonomous.

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Bibliographic Info

Paper provided by Australian National University - Department of Economics in its series Papers with number 354.

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Length: 19 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:aunaec:354

Contact details of provider:
Postal: THE AUSTRALIAN NATIONAL UNIVERSITY, DEPARTMENT OF ECONOMICS, RESEARCH SCHOOL of PACIFIC STUDIES, RESEARCH SCHOOL OF SOCIAL SCIENCES, G.P.O. 4, CANBERRA ACT 2601 AUSTRALIA..O. BOX 4 CANBERRA 2601 AUSTRALIA.
Web page: http://economics.anu.edu.au/economics.htm
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Keywords: LIFE CYCLE ; MATHEMATICAL MODELS ; FINANCIAL MARKET;

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References

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  1. Obstfeld, Maurice, 1981. "Capital Mobility and Devaluation in an Optimizing Model with Rational Expectations," American Economic Review, American Economic Association, vol. 71(2), pages 217-21, May.
  2. Maurice Obstfeld, 1980. "Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation," NBER Working Papers 0599, National Bureau of Economic Research, Inc.
  3. Robert J. Barro & Paul M. Romer, 1991. "Economic Growth," NBER Books, National Bureau of Economic Research, Inc, number barr91-1, May.
    • Robert J. Barro & Paul Romer, 1993. "Economic Growth," NBER Books, National Bureau of Economic Research, Inc, number barr93-1, May.
  4. Obstfeld, Maurice, 1982. "Aggregate Spending and the Terms of Trade: Is There a Laursen-Metzler Effect?," The Quarterly Journal of Economics, MIT Press, vol. 97(2), pages 251-70, May.
  5. Epstein, Larry G., 1983. "Stationary cardinal utility and optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 31(1), pages 133-152, October.
  6. Maurice Obstfeld, 1989. "Intertemporal Dependence, Impatience, and Dynamics," NBER Working Papers 3028, National Bureau of Economic Research, Inc.
  7. Charles Engel & Kenneth Kletzer, 1987. "Saving and Investment in an Open Economy with Non-Traded Goods," NBER Working Papers 2141, National Bureau of Economic Research, Inc.
  8. Epstein, Larry G & Hynes, J Allan, 1983. "The Rate of Time Preference and Dynamic Economic Analysis," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 611-35, August.
  9. Stephen J. Turnovsky, 1997. "International Macroeconomic Dynamics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262201119, December.
  10. Epstein, Larry G., 1987. "A simple dynamic general equilibrium model," Journal of Economic Theory, Elsevier, vol. 41(1), pages 68-95, February.
  11. repec:fth:harver:1504 is not listed on IDEAS
  12. Uzawa, H, 1969. "Time Preference and the Penrose Effect in a Two-Class Model of Economic Growth," Journal of Political Economy, University of Chicago Press, vol. 77(4), pages 628-52, Part II, .
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Cited by:
  1. Tom Kompas & Omar Abdel-Razeq, 2001. "A Simple Monetary Growth Model with Variable Rates of Time Preference," International and Development Economics Working Papers idec01-10, International and Development Economics.
  2. Xiaoyong Cui & Liutang Gong & Ziguan Zhuang, 2008. "Macroeconomic Policies and Foreign Asset Accumulation in a Finite-Horizon Model," Annals of Economics and Finance, Society for AEF, vol. 9(2), pages 293-313, November.

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