Robust control of forward-looking models

• 成果类型: Article; Proceedings Paper
• 署名作者: Hansen, LP; Sargent, TJ
• 署名单位: New York University; University of Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(03)00026-6
• 发表日期: 2003
• 页码: 581-604
• 关键词: forward looking models

摘要

This paper shows how to formulate and compute robust Ramsey (aka Stackelberg) plans for linear models with forward-looking private agents. The leader and the followers share a common approximating model and both have preferences for robust decision rules because both doubt the model. Since their preferences differ, the leader's and followers' decision rules are fragile to different misspecifications of the approximating model. We define a Stackelberg equilibrium with robust decision makers in which the leader and follower have different worst-case models despite sharing a common approximating model. To compute a Stackelberg equilibrium we formulate a Bellman equation that is associated with an artificial single-agent robust control problem. The artificial Bellman equation contains a description of implementability constraints that include Euler equations that describe the worst-case analysis of the followers. As an example, the paper analyzes a model, of a monopoly facing a competitive fringe. (C) 2003 Elsevier Science B.V. All rights reserved.