Related papers: The Welfare of Ramsey Optimal Policy Facing Auto-R…
This algorithm extends Ljungqvist and Sargent (2012) algorithm of Stackelberg dynamic game to the case of dynamic stochastic general equilibrium models including exogenous forcing variables. It is based Anderson, Hansen, McGrattan, Sargent…
We consider the problem of repeatedly choosing policies to maximize social welfare. Welfare is a weighted sum of private utility and public revenue. Earlier outcomes inform later policies. Utility is not observed, but indirectly inferred.…
The aim of the present paper is to provide criteria for a central bank of how to choose among different monetary-policy rules when caring about a number of policy targets such as the output gap and expected inflation. Special attention is…
Traditional optimal commodity tax analysis, dating back to Ramsey (1927), prescribes that to maximize welfare one should impose higher taxes on goods with lower demand elasticities. Yet policy makers do not stress minimizing efficiency…
We consider a regulator driving individual choices towards increasing social welfare by providing personal incentives. We formalise and solve this problem by maximising social welfare under a budget constraint. The personalised incentives…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
We generalize the classical theory on algebraic Riccati equations and optimization to infinite-dimensional well-posed linear systems, thus completing the work of George Weiss, Olof Staffans and others. We show that the optimal control is…
We consider a regulator willing to drive individual choices towards increasing social welfare by providing incentives to a large population of individuals. For that purpose, we formalize and solve the problem of finding an optimal…
Motivated by applications such as college admission and insurance rate determination, we propose an evaluation problem where the inputs are controlled by strategic individuals who can modify their features at a cost. A learner can only…
Consider a causal structure with endogeneity (i.e., unobserved confoundedness) in empirical data, where an instrumental variable is available. In this setting, we show that the mean social welfare function can be identified and represented…
Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…
We consider a frictionless constant endowment economy based on Leeper (1991). In this economy, it is shown that, under an ad-hoc monetary rule and an ad-hoc fiscal rule, there are two equilibria. One has active monetary policy and passive…
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
This paper studies the efficiency of battery storage operations in electricity markets by comparing the social welfare gain achieved by a central planner to that of a decentralized profit-maximizing operator. The problem is formulated in a…
We develop a unified microeconomic and monetary theory of artificial intelligence inference costs and their pass-through to inflation, welfare, and optimal monetary policy. We introduce the Inference-Cost Phillips Curve (ICPC), an augmented…
This paper proposes an optimal policy that targets the average welfare of the worst-off $\alpha$-fraction of the post-treatment outcome distribution. We refer to this policy as the $\alpha$-Expected Welfare Maximization ($\alpha$-EWM) rule,…
This paper proposes a framewrok for analyzing how the welfare effects of policy interventions are distributed across individuals when those effects are unobserved. Rather than focusing solely on average outcomes, the approach uses readily…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
Complementing existing results on minimal ruin probabilities, we minimize expected discounted penalty functions (or Gerber-Shiu functions) in a Cramer-Lundberg model by choosing optimal reinsurance. Reinsurance strategies are modelled as…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…