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Résolution d'un modèle macroéconomique avec anticipations rationnelles

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  • Jean-Pierre Laffargue

Abstract

The simulation of a model with rational expectations requires the solution of a system of difference equations with initial and terminal conditions over an infinite time period. This paper first considers the linear case and investigates the kind of errors which result from the substitution of a finite horizon to the infinite one. The results which are found are applied to the evaluation of the various methods of choice of this horizon and the terminal conditions which are related to it, when the model is nonlinear. Then the paper gives a short review of the methods of simulation which are currently used in macroeconomics. Finally it presents a method of relaxation which has not been used yet in economics: this method rests upon the algorithm of Newton-Raphson and the triangulation of a large matrix by Gauss' elimination.

Suggested Citation

  • Jean-Pierre Laffargue, 1990. "Résolution d'un modèle macroéconomique avec anticipations rationnelles," Annals of Economics and Statistics, GENES, issue 17, pages 97-119.
  • Handle: RePEc:adr:anecst:y:1990:i:17:p:97-119
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    3. Sudipto Dasgupta & Kevin Tsui, 2004. "Auctions with cross-shareholdings," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 163-194.
    4. María-Angeles de Frutos & Thomas Kittsteiner, 2008. "Efficient partnership dissolution under buy-sell clauses," RAND Journal of Economics, RAND Corporation, pages 184-198.
    5. Maxim Engers & Brian McManus, 2007. "Charity Auctions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(3), pages 953-994, August.
    6. Jacob K. Goeree & Emiel Maasland & Sander Onderstal & John L. Turner, 2005. "How (Not) to Raise Money," Journal of Political Economy, University of Chicago Press, vol. 113(4), pages 897-926, August.
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    Cited by:

    1. Cacciatore, Matteo & Duval, Romain & Fiori, Giuseppe & Ghironi, Fabio, 2016. "Market reforms in the time of imbalance," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 69-93.
    2. Cacciatore, Matteo & Fiori, Giuseppe & Ghironi, Fabio, 2016. "Market deregulation and optimal monetary policy in a monetary union," Journal of International Economics, Elsevier, pages 120-137.
    3. Cacciatore, Matteo, 2014. "International trade and macroeconomic dynamics with labor market frictions," Journal of International Economics, Elsevier, pages 17-30.
    4. Cacciatore, Matteo & Fiori, Giuseppe & Ghironi, Fabio, 2016. "Market deregulation and optimal monetary policy in a monetary union," Journal of International Economics, Elsevier, pages 120-137.
    5. Jean-Pierre Laffargue, 1997. "Chômage des non qualifiés et progrès technique. Le modèle "Charlotte"," Revue Économique, Programme National Persée, vol. 48(5), pages 1311-1335.
    6. Cacciatore, Matteo & Duval, Romain & Fiori, Giuseppe & Ghironi, Fabio, 2016. "Short-term pain for long-term gain: Market deregulation and monetary policy in small open economies," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 358-385.
    7. Stradi-Granados, Benito A. & Haven, Emmanuel, 2010. "The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: The case of the IN/GB method," European Journal of Operational Research, Elsevier, vol. 203(1), pages 222-229, May.

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