文档介绍：Recursive Macroeconomic Theory
Second edition
Recursive Macroeconomic Theory
Second edition
Lars Ljungqvist
Stockholm School of Economics
Thomas J. Sargent
New York University
and
Hoover Institution
c 2000 Massachusetts Institute of Technology
All rights reserved. No part of this book may be reproduced in any form by any electronic or
mechanical means (including photocopying, recording, or information storage and retrieval)
without permission in writing from the publisher.
Printed and bound in the United States of America.
Library of Congress Cataloging-in-Publication Data
Ljungqvist, Lars.
Recursive macroeconomic theory / Lars Ljungqvist, Thomas J. Sargent.
p. cm.
Includes bibliographical references and index.
ISBN 0-262-19451-1
1. Macroeconomics. 2. Recursive functions. 3. Statics and dynamics
(Social sciences)
I. Sargent, Thomas J. II. Title.
.L59 2000
339’.01’51135–dc21
00-056067
Contents
Acknowledgements xvi
Preface xvii
Part I: The imperialism of recursive methods
1. Overview 1
. mon ancestor. . The savings problem. . Linear-quadratic
permanent e theory. . Precautionary savings. . Complete
markets, insurance, and the distribution of wealth. . Bewley models.
. History dependence in standard consumption models. . Growth
theory. . Limiting results from dynamic optimal taxation. . Asset
pricing. . Multiple assets. . Recursive methods. . Methodology:
dynamic programming issues a challenge. . Dynamic programming is
challenged. . Response: the imperialism of dynamic programming. .
History dependence and ‘dynamic programming squared’. . Dynamic
principal-agent problems. . More applications.
Part II: Tools
2. Time series 24
. Two workhorses. . Markov chains. . Stationary distributions.
. Asymptotic stationarity. . Expectations. . Forecasting func-
tions. . Invariant functions and ergodicity. .