IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Production technologies in stochastic continuous time models

  • Wälde, Klaus

Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a large class of models some of which, however, have some undesirable features such as potentially negative output. This paper offers closed-form solutions for models which are just as tractable but do not suffer from these shortcomings.

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.sciencedirect.com/science/article/B6V85-5192110-2/2/c242fcdab104b4401b6741ed4d1023df
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 35 (2011)
Issue (Month): 4 (April)
Pages: 616-622

as
in new window

Handle: RePEc:eee:dyncon:v:35:y:2011:i:4:p:616-622
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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. Koethenbuerger, Marko & Lockwood, Ben, 2010. "Does tax competition really promote growth?," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 191-206, February.
  2. Aude POMMERET & William T. SMITH, 2004. "Fertility, Volatility, and Growth," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 04.08, Université de Lausanne, Faculté des HEC, DEEP.
  3. Ken Sennewald & Klaus Wälde, 2006. "“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View," CESifo Working Paper Series 1684, CESifo Group Munich.
  4. Grinols, Earl L. & Turnovsky, Stephen J., 1993. "Risk, the financial market, and macroeconomic equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 1-36.
  5. Steger, Thomas M., 2005. "Stochastic growth under Wiener and Poisson uncertainty," Economics Letters, Elsevier, vol. 86(3), pages 311-316, March.
  6. Turnovsky, Stephen J. & Smith, William T., 2006. "Equilibrium consumption and precautionary savings in a stochastically growing economy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 243-278, February.
  7. Asea, Patrick K. & Turnovsky, Stephen J., 1998. "Capital income taxation and risk-taking in a small open economy," Journal of Public Economics, Elsevier, vol. 68(1), pages 55-90, April.
  8. Stephen Turnovsky, 1998. "Productive Government Expenditure in a Stochastically Growing Economy," Working Papers 0056, University of Washington, Department of Economics.
  9. Santanu Chatterjee & Paola Giuliano & Stephen J. Turnovsky, 2004. "Capital Income Taxes and Growth in a Stochastic Economy: A Numerical Analysis of the Role of Risk Aversion and Intertemporal Substitution," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 6(2), pages 277-310, 05.
  10. Corsetti, Giancarlo, 1997. "A portfolio approach to endogenous growth: equilibrium and optimal policy," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1627-1644, August.
  11. Stephen Turnovsky, 1998. "On the Role of Government in a Stochastically Growing Open Economy," Discussion Papers in Economics at the University of Washington 0073, Department of Economics at the University of Washington.
  12. Aude Pommeret & Anne Epaulard, 2001. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," IMF Working Papers 01/5, International Monetary Fund.
  13. Rebelo, S. & Xie, D., 1996. "On the Optimality of Interest Rate Smoothing," RCER Working Papers 427, University of Rochester - Center for Economic Research (RCER).
  14. repec:cup:cbooks:9780521834063 is not listed on IDEAS
  15. Sennewald, Ken, 2007. "Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1106-1131, April.
  16. Grinols, E-L & Turnovsky, S-J, 1997. "Risk, Optimal Government Finance, and Monetary Policies in a Growing Economy," Working Papers 97-10, University of Washington, Department of Economics.
  17. Kenc, Turalay, 2004. "Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1511-1539, June.
  18. Cecilia Garcia-Penalosa & Stephen Turnovsky, 2003. "Production Risk and the Functional Distribution of Income in a Developing Economy: Tradeoffs and Policy Responses," Working Papers UWEC-2002-07-P, University of Washington, Department of Economics, revised Oct 2003.
  19. Evans, Lynne & Kenc, Turalay, 2003. "Welfare Cost Of Monetary And Fiscal Policy Shocks," Macroeconomic Dynamics, Cambridge University Press, vol. 7(02), pages 212-238, April.
  20. Gong, Liutang & Zou, Heng-fu, 2003. "Military spending and stochastic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 153-170, October.
  21. Turnovsky, Stephen J, 1993. "Macroeconomic Policies, Growth, and Welfare in a Stochastic Economy," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(4), pages 953-81, November.
  22. Klaus Wälde, 2005. "Endogenous Growth Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(3), pages 867-894, 08.
  23. Smith William T, 2007. "Inspecting the Mechanism Exactly: A Closed-form Solution to a Stochastic Growth Model," The B.E. Journal of Macroeconomics, De Gruyter, vol. 7(1), pages 1-33, August.
  24. Marco Cagetti & Lars Peter Hansen & Thomas Sargent & Noah Williams, 2002. "Robustness and Pricing with Uncertain Growth," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 363-404, March.
  25. Liutang Gong & Heng-fu Zou, 2001. "Direct preferences for wealth, the risk premium puzzle, growth, and policy effectiveness," CEMA Working Papers 53, China Economics and Management Academy, Central University of Finance and Economics.
  26. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  27. Philippe Monfort & Aude Pommeret, 2002. "Fiscal Harmonization and Portfolio Choice," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 02.16, Université de Lausanne, Faculté des HEC, DEEP.
  28. Merton, Robert C, 1975. "An Asymptotic Theory of Growth under Uncertainty," Review of Economic Studies, Wiley Blackwell, vol. 42(3), pages 375-93, July.
  29. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, School of Economics and Management, University of Aarhus.
  30. Gokan, Yoichi, 2002. "Alternative government financing and stochastic endogenous growth," Journal of Economic Dynamics and Control, Elsevier, vol. 26(4), pages 681-706, April.
  31. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  32. Grinols, E-L & Turnovsky, S-J, 1997. "Consequences of Debt Policy in a Stochastically Growing Monetary Economy," Working Papers 97-09, University of Washington, Department of Economics.
  33. Turnovsky, Stephen J. & Bianconi, Marcelo, 2005. "Welfare Gains From Stabilization In A Stochastically Growing Economy With Idiosyncratic Shocks And Flexible Labor Supply," Macroeconomic Dynamics, Cambridge University Press, vol. 9(03), pages 321-357, June.
  34. Gertler, Mark & Grinols, Earl, 1982. "Monetary randomness and investment," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 239-258.
  35. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, vol. 40(8), pages 1647-1664, November.
  36. Turnovsky, Stephen J, 2000. " Government Policy in a Stochastic Growth Model with Elastic Labor Supply," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 2(4), pages 389-433.
  37. Grinols, Earl L. & Turnovsky, Stephen J., 1994. "Exchange rate determination and asset prices in a stochastic small open economy," Journal of International Economics, Elsevier, vol. 36(1-2), pages 75-97, February.
  38. Eaton, Jonathan, 1981. "Fiscal Policy, Inflation and the Accumulation of Risky Capital," Review of Economic Studies, Wiley Blackwell, vol. 48(3), pages 435-45, July.
  39. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
  40. Clemens, Christiane & Soretz, Susanne, 2004. "Optimal fiscal policy, uncertainty, and growth," Journal of Macroeconomics, Elsevier, vol. 26(4), pages 679-697, December.
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:35:y:2011:i:4:p:616-622. 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: (Zhang, Lei)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.