Optimal Control of Heteroscedastic Macroeconomic Models
分析了异方差性对最优宏观经济政策和福利的影响，发现外生过程驱动的方差变化影响福利但不影响最优反馈规则，而状态依赖过程则两者都影响，并推导了确定性等价变换以便用标准算法求解。
Summary This paper analyses the implications of heteroscedasticity for optimal macroeconomic policy and welfare. We find that changes in the variance structure driven by exogenous processes like generalized autoregressive conditional heteroscedasticity (GARCH) affect welfare but not the optimal feedback rule. However, changes in the variance structure driven by state‐dependent processes affect both. We also derive certainty‐equivalent transformations of state‐dependent volatility models that allow standard quadratic dynamic programming algorithms to be employed to study optimal policy. These results are illustrated numerically using a reduced‐form model of the US economy in which changes in volatility are driven by a GARCH process and the rate of inflation. Copyright © 2015 John Wiley & Sons, Ltd.