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Lecture

Stochastic Endowment Consumption Model

In course

FIN-406: Macrofinance

This course provides students with a working knowledge of macroeconomic models that explicitly incorporate financial markets. The goal is to develop a broad and analytical framework for analyzing the interaction of financial decisions, macroeconomic events ...

Description

This lecture covers the stochastic endowment consumption model, log-linear transformation around the steady state, impulse response solution, and getting ready for Matlab codes. It explains the objective problem, optimality conditions, state variables, control variables, and key matrices to find. The lecture also includes details on the Matlab codes and packages used for the model, such as defining global variables, degree of approximation, and calling necessary functions.

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Instructors (3)

Stylianos Tsiaras

I am a scientific collaborator at the Luisa Lambertini's Chair of International Finance at the Swiss Finance Inst i tute. Previously I was a Max Weber Fellow at the European University Institute. I got my PhD in economics at the University of Surrey. My thesis was supervised by Professor Martin Kaae Jensen and Dr. Tom Holden. My recent research explores the set of unconventional monetary policies by the European Central Bank and their impact on the macroeconomy, welfare and inequality.

Luisa Lambertini

Luisa Lambertini is Full Professor at the Ecole Polytechnique Federale de Lausanne (EPFL), where she holds the Chair of International Finance. She received her Ph.D. in Economics from the University of California at Berkeley in 1995, her Master of Science in Economics from Warwick University in 1989 and a Laurea cum Laude from the Universita' degli Studi di Bologna in 1987. Prior to coming to EPFL, Professor Lambertini was Associate Professor at Claremont McKenna College 2005-06, Associate Professor at Boston College 2003-06 and Assistant Professor at the University of California at Los Angeles 1995-03. Professor Lambertini's research is in international finance, open-economy macroeconomics and political economy. She studies how monetary and fiscal policies affect the economy, how they interact and how they can be used to achieve good economic outcomes and improve social welfare. Professor Lambertini's research focuses on how monetary and fiscal institutions should be designed to successfully mitigate the impact of unexpected shocks while pursuing long-run goals consistent with price stability and fiscal sustainability. These issues are even more important for small open economies in an interdependent world and for countries that adopt a common currency. Professor Lambertini has published articles in the American Economic Review, the Review of Economic Studies, the European Economic Review, the Journal of International Economics and the Economic Journal, among others. She was a Consultant in the Fiscal Policies Division of the European Central Bank and she has organized several international conferences. More details on my CV

Christian Pröbsting

Official source

Ontological neighbourhood

Theoretical computer science

Programming language theory: High-level programming languages

Information engineering

Control theory and engineering: Control theory

Related concepts (32)

Global variable

In computer programming, a global variable is a variable with global scope, meaning that it is visible (hence accessible) throughout the program, unless shadowed. The set of all global variables is known as the global environment or global state. In compiled languages, global variables are generally static variables, whose extent (lifetime) is the entire runtime of the program, though in interpreted languages (including command-line interpreters), global variables are generally dynamically allocated when declared, since they are not known ahead of time.

MATLAB

MATLAB (an abbreviation of "MATrix LABoratory") is a proprietary multi-paradigm programming language and numeric computing environment developed by MathWorks. MATLAB allows matrix manipulations, plotting of functions and data, implementation of algorithms, creation of user interfaces, and interfacing with programs written in other languages. Although MATLAB is intended primarily for numeric computing, an optional toolbox uses the MuPAD symbolic engine allowing access to symbolic computing abilities.

Variable (computer science)

In computer programming, a variable is an abstract storage location paired with an associated symbolic name, which contains some known or unknown quantity of data or object referred to as a value; or in simpler terms, a variable is a named container for a particular set of bits or type of data (like integer, float, string etc...). A variable can eventually be associated with or identified by a memory address. The variable name is the usual way to reference the stored value, in addition to referring to the variable itself, depending on the context.

Optimal control

Optimal control theory is a branch of mathematical optimization that deals with finding a control for a dynamical system over a period of time such that an objective function is optimized. It has numerous applications in science, engineering and operations research. For example, the dynamical system might be a spacecraft with controls corresponding to rocket thrusters, and the objective might be to reach the moon with minimum fuel expenditure.

Array programming

In computer science, array programming refers to solutions that allow the application of operations to an entire set of values at once. Such solutions are commonly used in scientific and engineering settings. Modern programming languages that support array programming (also known as vector or multidimensional languages) have been engineered specifically to generalize operations on scalars to apply transparently to vectors, matrices, and higher-dimensional arrays.

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