Solving Models with Imperfect and Asymmetric Information
AbstractWe 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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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0505025.
Length: 15 pages
Date of creation: 28 May 2005
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Note: Type of Document - pdf; pages: 15
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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; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-05 (All new papers)
- NEP-BEC-2005-06-05 (Business Economics)
- NEP-MAC-2005-06-05 (Macroeconomics)
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.:
- Collard, Fabrice & Dellas, Harris, 2004. "The New Keynesian Model with Imperfect Information and Learning," IDEI Working Papers 273, Institut d'Économie Industrielle (IDEI), Toulouse.
- Lars E.O. Svensson & Michael Woodford, 2001.
"Indicator Variables for Optimal Policy under Asymmetric Information,"
NBER Working Papers
8255, National Bureau of Economic Research, Inc.
- 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.
- Svensson, Lars E. O. & Woodford, Michael, 2001. "Indicator Variables for Optimal Policy under Asymmetric Information," Seminar Papers 689, Stockholm University, Institute for International Economic Studies.
- 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.
- Pawel Kowal, 2005. "An Algorithm for Solving Arbitrary Linear Rational Expectations Model," GE, Growth, Math methods 0501001, EconWPA, revised 12 Jun 2005.
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