Advanced Search
MyIDEAS: Login to save this paper or follow this series

Monetary Equilibrium and the Differentiability of the Value Function

Contents:

Author Info

  • Aliprantis, C.D.
  • Camera, G.
  • Ruscitti, F.
Registered author(s):

    Abstract

    In this study we offer a new approach to proving the differentiability of the value function, which complements and extends the literature on dynamic programming. This result is then applied to the analysis of equilibrium in the recent class of monetary economies developed in [13]. For this type of environments we demonstrate that the value function is differentiable and this guarantees that the marginal value of money balances is well defined.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.krannert.purdue.edu/programs/phd/Working-paper-series/Year-2007/1199.pdf
    Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Krannert PHD)
    Download Restriction: no

    Bibliographic Info

    Paper provided by Purdue University, Department of Economics in its series Purdue University Economics Working Papers with number 1199.

    as in new window
    Length: 16 pages
    Date of creation: Apr 2007
    Date of revision:
    Handle: RePEc:pur:prukra:1199

    Contact details of provider:
    Postal: Krannert Building, West Lafayette, IN 47907
    Web page: http://www.krannert.purdue.edu/programs/phd
    More information through EDIRC

    Related research

    Keywords: value function ; optimal plans ; money;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Paul Milgrom & Ilya Segal, 2002. "Envelope Theorems for Arbitrary Choice Sets," Econometrica, Econometric Society, Econometric Society, vol. 70(2), pages 583-601, March.
    2. Aleksander Berentsen & Gabriele Camera & C hristopher W aller, 2005. "The Distribution Of Money Balances And The Nonneutrality Of Money," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(2), pages 465-487, 05.
    3. Miguel Molico, 2006. "The Distribution Of Money And Prices In Search Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(3), pages 701-722, 08.
    4. Maria Luisa Gota & Luigi Montrucchio, 1999. "On Lipschitz continuity of policy functions in continuous-time optimal growth models," Economic Theory, Springer, Springer, vol. 14(2), pages 479-488.
    5. Edward J. Green & Ruilin Zhou, 2002. "Dynamic Monetary Equilibrium in a Random Matching Economy," Econometrica, Econometric Society, Econometric Society, vol. 70(3), pages 929-969, May.
    6. Benveniste, L M & Scheinkman, J A, 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, Econometric Society, Econometric Society, vol. 47(3), pages 727-32, May.
    7. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1982. "Characterization of optimal plans for stochastic dynamic programs," Journal of Economic Theory, Elsevier, Elsevier, vol. 28(2), pages 221-234, December.
    8. Ricardo Lagos & Randall Wright, 2004. "A unified framework for monetary theory and policy analysis," Staff Report, Federal Reserve Bank of Minneapolis 346, Federal Reserve Bank of Minneapolis.
    9. Aliprantis, C.D. & Camera, Gabriele & Puzzello, D., 2005. "Anonymous Markets and Monetary Trading," Purdue University Economics Working Papers, Purdue University, Department of Economics 1179, Purdue University, Department of Economics.
    10. Camera, Gabriele & Corbae, Dean, 1999. "Money and Price Dispersion," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(4), pages 985-1008, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:pur:prukra:1199. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Krannert PHD).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.