On the influence of stochastic parameters on optimal macroeconomic policies

摘要

The sensitivity of results from optimum control problems with respect to uncertain parameters is investigated in a numerical case study for Austria. Optimal stabilization policies for the period 1995 to 2000 are calculated under varying assumptions about stochastic parameters within the framework of a problem of quantitative economic policy. An intertemporal objective function is minimized subject to the constraints of a small macroeconometric model, and approximately optimal values for federal budget expenditures and revenues are determined. It is shown that the deterministic and the fully stochastic optimal policies are rather similar. However, optimization results can be very different when covariances between different parameters are not taken into account, especially when parameters affecting the dynamic structure of the model are assumed to be stochastic.