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Solving Models with Imperfect and Asymmetric Information

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  • Pawel Kowal

    (Department of Economics, Warsaw School of Economics)

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://128.118.178.162/eps/mac/papers/0505/0505025.pdf
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Bibliographic 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://128.118.178.162

Related research

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

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  1. 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.
  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.
  3. Pawel Kowal, 2005. "An Algorithm for Solving Arbitrary Linear Rational Expectations Model," GE, Growth, Math methods 0501001, EconWPA, revised 12 Jun 2005.
  4. 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.
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