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Discussion Paper Details

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Title: Optimal Control and Filtering in Linear Forward-looking Economies: A Toolkit

Author(s): Andrea Gerali and Francesco Lippi

Publication Date: January 2003

Keyword(s): commitment, filtering and optimal control

Programme Area(s): International Macroeconomics

Abstract: We provide algorithms to solve a linear-quadratic optimal control problem with commitment. By extending to the case of imperfect information a procedure outlined in Ljungqvist and Sargent (2002), we make the results of Svensson and Woodford (2000) easy to implement. We provide a Mat-lab package that solves this class of models and analyses their properties using simulations, impulse response functions and other techniques, with both commitment and discretion. A monetary policy application, based on the ?new-Keynesian? model of Clarida, Galí and Gertler (1999), is used to illustrate how the toolkit can be used.

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Bibliographic Reference

Gerali, A and Lippi, F. 2003. 'Optimal Control and Filtering in Linear Forward-looking Economies: A Toolkit'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=3706