Analysis of Lithuanian aggregate consumption by means of dynamic programming
Articles
Audronė Jakaitienė
Institute of Mathematics and Informatics
Antanas Žilinskas
Institute of Mathematics and Informatics
Julius Žilinskas
Institute of Mathematics and Informatics
Published 2009-12-20
https://doi.org/10.15388/LMR.2009.55
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Keywords

consumption
dynamic programming
stochastic optimization

How to Cite

Jakaitienė A., Žilinskas A. and Žilinskas J. (2009) “Analysis of Lithuanian aggregate consumption by means of dynamic programming”, Lietuvos matematikos rinkinys, 50(proc. LMS), pp. 310–315. doi: 10.15388/LMR.2009.55.

Abstract

In the paper, we model household consumption from the perspective of the modern representative agent-based approaches. Household chooses a stochastic consumption plan to maximise the expected value of their time-additive nonlinear utility function subject to asset budget constraint. We apply the dynamic programming for this multi-period problem using the Bellman equation. Beforehand we estimate the structural parameters of the given problem. We employ numerical methods to compute equilibrium. Finally we obtain that observed consumption was just below equilibrium in 2008.

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