Recursive Linear Models of Dynamic Economies
NBER Working Paper No. 3479
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.
Document Object Identifier (DOI): 10.3386/w3479
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