连续时间框架下带名义利率零下限约束的最优货币政策
Optimal monetary policy with a zero lower bound on the nominal interest rate under a continuous-time framework
刘浩东 1张驰1
作者信息
- 1. 中国海洋大学经济学院,山东 青岛 266100
- 折叠
摘要
利用正倒向随机微分方程,建立连续时间框架下的新凯恩斯模型,并将最优货币政策问题转化为带控制约束的随机最优控制问题.结合最大值原理,得到最优货币政策的必要条件,并刻画最优货币政策的特征.
Abstract
In this paper,we give the continuous time version of the New Keynesian model,which is a backward stochastic differential system and translate the optimal monetary policy problem into a stochastic optimal control problem under control constraints.By using the maximum principle for the control system,we obtain the necessary condition for the optimal monetary policy.Also we give the expression of the optimal monetary policy.
关键词
倒向随机微分方程/随机最优控制/货币政策Key words
backward stochastic differential equation/stochastic optimal control/monetary policy引用本文复制引用
出版年
2024
NETL
NSTL
万方数据