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《山东大学学报(理学版)》 ›› 2024, Vol. 59 ›› Issue (1): 11-16.doi: 10.6040/j.issn.1671-9352.0.2023.148

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连续时间框架下带名义利率零下限约束的最优货币政策

刘浩东(),张驰   

  1. 中国海洋大学经济学院, 山东 青岛 266100
  • 收稿日期:2023-04-12 出版日期:2024-01-20 发布日期:2024-01-19
  • 作者简介:刘浩东(1988—), 男, 讲师, 硕士生导师, 博士, 研究方向为随机控制. E-mail: liuhaodong@ouc.edu.cn
  • 基金资助:
    国家自然科学基金资助项目(12201593)

Optimal monetary policy with a zero lower bound on the nominal interest rate under a continuous-time framework

Haodong LIU(),Chi ZHANG   

  1. School of Economics, Ocean University of China, Qingdao 266100, Shandong, China
  • Received:2023-04-12 Online:2024-01-20 Published:2024-01-19

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摘要：

利用正倒向随机微分方程, 建立连续时间框架下的新凯恩斯模型, 并将最优货币政策问题转化为带控制约束的随机最优控制问题。结合最大值原理, 得到最优货币政策的必要条件, 并刻画最优货币政策的特征。

关键词: 倒向随机微分方程, 随机最优控制, 货币政策

Abstract:

In this paper, we give the continuous time version of the New Keynesian model, which is a backward stochastic differential system and translate the optimal monetary policy problem into a stochastic optimal control problem under control constraints. By using the maximum principle for the control system, we obtain the necessary condition for the optimal monetary policy. Also we give the expression of the optimal monetary policy.

Key words: backward stochastic differential equation, stochastic optimal control, monetary policy

中图分类号: 

  • O231.3
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