This paper solves the canonical dynamic rational inattention problem of Sims (2003) by formulating it in the frequency domain. The solution complements and extends existing results, which have been derived in the time domain. The paper provides a simple algorithm that quickly and accurately...

We propose an empirical test to depict possible endogenous cycles within Heterogeneous Agent Models (HAMs). We consider a 2-type HAM into a standard small-scale dynamic asset pricing framework. On the one hand, fundamentalists base their expectations on the deviation of fundamental value from...