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Analytic Policy Function Iteration
- Source :
- SSRN Electronic Journal.
- Publication Year :
- 2019
- Publisher :
- Elsevier BV, 2019.
-
Abstract
- We propose a novel approach to solving and analyzing linear rational expectations models with general information frictions. Our approach is built upon policy function iterations in the frequency domain. We develop the theoretical framework of this approach using rational approximation, analytic continuation, and discrete Fourier transform. We provide the numerical implementation accompanied by a flexible object-oriented toolbox. We demonstrate the efficiency and accuracy of our method by studying four models in macroeconomics and finance that feature asymmetric information sets, endogenous signals, and higher-order expectations.
- Subjects :
- History
Rational expectations
Mathematical optimization
Polymers and Plastics
Computer science
Analytic continuation
Function (mathematics)
Industrial and Manufacturing Engineering
Toolbox
Discrete Fourier transform
Information asymmetry
Frequency domain
Feature (machine learning)
Business and International Management
Subjects
Details
- ISSN :
- 15565068
- Database :
- OpenAIRE
- Journal :
- SSRN Electronic Journal
- Accession number :
- edsair.doi...........960d2833f3ae3c7910433cca51c639f4