Recursive Linear Models of Dynamic Economies
AbstractThis 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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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 3479.
Date of creation: Oct 1990
Date of revision:
Publication status: 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.
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