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Solving Models with Imperfect and Asymmetric Information

Author

Listed:
  • 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.

Suggested Citation

  • Pawel Kowal, 2005. "Solving Models with Imperfect and Asymmetric Information," Macroeconomics 0505025, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpma:0505025
    Note: Type of Document - pdf; pages: 15
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/mac/papers/0505/0505025.pdf
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    References listed on IDEAS

    as
    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.
    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. 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.
    4. Pawel Kowal, 2005. "An Algorithm for Solving Arbitrary Linear Rational Expectations Model," GE, Growth, Math methods 0501001, EconWPA, revised 12 Jun 2005.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    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

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