Recursive Linear Models of Dynamic Economies
This 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.
|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.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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