Money non-neutrality in a rational belief equilibrium with financial assets (Q5942325)
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scientific article; zbMATH DE number 1638253
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English | Money non-neutrality in a rational belief equilibrium with financial assets |
scientific article; zbMATH DE number 1638253 |
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Money non-neutrality in a rational belief equilibrium with financial assets (English)
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28 August 2001
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After an introduction to problems of infinite horizon monetary economies the author uses a Markov competitive equilibrium with initial portfolio holdings as a special stochastic process of prices, portfolios and exogenous shocks with the specified initial portfolio at \(t=0\) in order to define a Markov rational belief equilibrium and discusses it in different directions (e.g. money non-neutrality, endogenous uncertainty, structure of beliefs). Then he deals with computing of such equilibria. His computational procedure is based on B-spline collocation methods approximating the equilibrium price and portfolio policy functions and Monte-Carlo simulations.
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rational belief equilibrium
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money non-neutrality
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endogenous uncertainty
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