A Note on the Solution of A Two-Point Boundary Value Problem Frequently Encountered in Rational Expectations Models
The paper analyses a class of two-point boundary value problem for systems of linear differential equations with constant coefficients. The boundary conditions are expressed as linear restrictions on the state vector at an initial time and at a finite terminal time. This is applicable even if the terminal conditions involve the asymptotic convergence of the system to steady-state equilibrium. as is frequently the case in eC9nomic applications. It is also a suitable format for numerical applications using existing computer routines. The case in which there are more stable eigenvalues than predetermined state variables is also considered. An example involving a small open economy macroeconomic model is used to illustrate the analysis.
|Date of creation:||Jun 1981|
|Date of revision:|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
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.:
- Obstfeld, Maurice, 1981.
"Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation,"
Journal of Political Economy,
University of Chicago Press, vol. 89(6), pages 1142-61, December.
- Maurice Obstfeld, 1980. "Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation," NBER Working Papers 0599, National Bureau of Economic Research, Inc.
- Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
- Willem H. Buiter, 1980.
"The Role of Economic Policy After the New Classical Macroeconomics,"
NBER Technical Working Papers
0006, National Bureau of Economic Research, Inc.
- Willem H. Buiter, 1980. "The Role of Economic Policy after the New Classical Macroeconomics," NBER Working Papers 0580, National Bureau of Economic Research, Inc.
- Willem H. Buiter & Marcus H. Miller, 1980. "Monetary Policy and International Competitiveness," NBER Working Papers 0591, National Bureau of Economic Research, Inc.
- Flood, Robert P & Garber, Peter M, 1980. "Market Fundamentals versus Price-Level Bubbles: The First Tests," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 745-70, August.
- Blanchard, Olivier J, 1979. "Backward and Forward Solutions for Economies with Rational Expectations," American Economic Review, American Economic Association, vol. 69(2), pages 114-18, May.
- Calvo, Guillermo A, 1979. "On Models of Money and Perfect Foresight," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 83-103, February.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberte:0012. 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: ()
If references are entirely missing, you can add them using this form.