Recursive Linear Models of Dynamic Economies

Lars Peter Hansen, Thomas J. Sargent

NBER Working Paper No. 3479
Issued in October 1990
NBER Program(s):   EFG

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.

(551 K)

(332 K)

Published:

• 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. ,
• Lars Peter Hansen & Thomas J. Sargent, 1993. "Recursive linear models of dynamic economies," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. ,
• Implications of Security Market Data for Models of Dynamic Economies, Lars Peter Hansen, Ravi Jagannathan
  

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