In this study we offer a new approach to proving the differentiability of the value function, which complements and extends the literature on dynamic programming. This result is then applied to the analysis of equilibrium in the recent class of monetary economies developed in [Lagos, R., Wright, R., 2005. A unified framework for monetary theory and policy analysis. Journal of Political Economy 113, 463-484]. For this type of environments we demonstrate that the value function is differentiable and this guarantees that the marginal value of money balances is well defined.
Monetary equilibrium and the differentiability of the value function / Aliprantis, C.D.*; Camera, G.; Ruscitti, F.. - In: JOURNAL OF ECONOMIC DYNAMICS & CONTROL. - ISSN 0165-1889. - STAMPA. - 33:2(2009), pp. 454-462. [10.1016/j.jedc.2008.06.010]
Monetary equilibrium and the differentiability of the value function
Camera, G.;
2009
Abstract
In this study we offer a new approach to proving the differentiability of the value function, which complements and extends the literature on dynamic programming. This result is then applied to the analysis of equilibrium in the recent class of monetary economies developed in [Lagos, R., Wright, R., 2005. A unified framework for monetary theory and policy analysis. Journal of Political Economy 113, 463-484]. For this type of environments we demonstrate that the value function is differentiable and this guarantees that the marginal value of money balances is well defined.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
