Fiscal stimulus as an optimal control problem
Fiscal stimulus as an optimal control problem
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DOI：
10.1016/j.spa.2021.05.009
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发表时间：
2021-06
影响因子：
1.4
通讯作者：
Philip A. Ernst;Michael B. Imerman;L. Shepp;Quan Zhou
中科院分区：
文献类型：
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作者：
Philip A. Ernst;Michael B. Imerman;L. Shepp;Quan Zhou
在经济大衰退期间，美国民主党人认为，政府支出可以用来“润滑经济的车轮”，以创造财富和增加就业；另一方面，共和党人则认为，政府支出是浪费，不利于投资，从而增加了失业率。在过去的一年里，我们发现自己处于另一场危机之中，政府支出和财政刺激再次被视为解决方案。在本文中，我们通过提出一个推广Radner和Shepp（1996）模型的最优控制问题来解决这个问题。这种模式允许公司不断向政府借款。我们证明了存在最优策略；给出了其最优性的严格验证证据。我们进一步证明政府贷款增加了公司的预期价值。我们还研究了在接受财政刺激的企业中不同获利回吐行为的后果。
During the Great Recession, Democrats in the United States argued that government spending could be utilized to “grease the wheels” of the economy in order to create wealth and to increase employment; Republicans, on the other hand, contended that government spending is wasteful and discourages investment, thereby increasing unemployment. This past year we have found ourselves in the midst of another crisis where government spending and fiscal stimulus is again being considered as a solution. In the present paper, we address this question by formulating an optimal control problem generalizing the model of Radner and Shepp (1996). The model allows for the company to borrow continuously from the government. We prove that there exists an optimal strategy; rigorous verification proofs for its optimality are provided. We proceed to prove that government loans increase the expected value of a company. We also examine the consequences of different profit-taking behaviors among firms who receive fiscal stimulus.