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Solving Models with Imperfect and Asymmetric Information

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Author Info
Pawel Kowal (Department of Economics, Warsaw School of Economics)

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Abstract

We consider linear dynamic models with rational expectations in case of incomplete and asymmetric information as well as agents heterogeneity. This problem requires solving infinite dimensional matrix equations. We propose asymptotic expansion method to reduce this problem to the finite dimensional problem.

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File URL: http://129.3.20.41/eps/mac/papers/0505/0505025.pdf
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Publisher Info
Paper provided by EconWPA in its series Macroeconomics with number 0505025.

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Length: 15 pages
Date of creation: 28 May 2005
Date of revision:
Handle: RePEc:wpa:wuwpma:0505025

Note: Type of Document - pdf; pages: 15
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Web page: http://129.3.20.41

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Related research
Keywords: Computational Methods; Imperfect Information; Asymmetric Information; Linear Rational Expectations Model; Asymptotic Expansion.;

Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Gerali, Andrea & Lippi, Francesco, 2003. "Optimal Control and Filtering in Linear Forward-looking Economies: A Toolkit," CEPR Discussion Papers 3706, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Collard, Fabrice & Dellas, Harris, 2004. "The New Keynesian Model with Imperfect Information and Learning," IDEI Working Papers 273, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  3. Pawel Kowal, 2005. "An Algorithm for Solving Arbitrary Linear Rational Expectations Model," GE, Growth, Math methods 0501001, EconWPA, revised 12 Jun 2005. [Downloadable!]
  4. Svensson, Lars E. O. & Woodford, Michael, 2004. "Indicator variables for optimal policy under asymmetric information," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 661-690, January. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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