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 problem in the form of an optimal linear regulator. Heterogeneity among agents is permitted. Several examples are computed.

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Year of publication:	1990-10
Authors:	Hansen, Lars Peter ; Sargent, Thomas
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	EFG published as With Ravi Jagannathan, published as "Implications of Security Market Datafor Models of Dynamic Economies", Journal of Political Economy, Vol. 99, no. 2 (1991): p. 225-262. Number 3479
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005714684