Recursive Linear Models of Dynamic Economies /

This paper describes a class of dynamic stochastic linear quadratic equilibrium models. A model is specified by naming lists of matrices that determine preferences, technology, and the information structure. Aggregate equilibrium allocations and prices are computed by solving a social planning probl...

Ausführliche Beschreibung

1. Verfasser:

Hansen, Lars Peter

Körperschaft:

National Bureau of Economic Research

Weitere Verfasser:

Sargent, Thomas J.

Format:

Elektronisch E-Book

Sprache:

Englisch

Veröffentlicht:

Cambridge, Mass. National Bureau of Economic Research 1990.

Zusammenfassung:

This paper describes a class of dynamic stochastic linear quadratic equilibrium models. A model is specified by naming lists of matrices that determine preferences, technology, and the information structure. Aggregate equilibrium allocations and prices are computed by solving a social planning problem in the form of an optimal linear regulator. Heterogeneity among agents is permitted. Several examples are computed.

Umfang:

1 online resource: illustrations (black and white);

Anmerkungen:

October 1990.

Schlagworte:

Mathematical and Quantitative Methods