Spectral utility, Wiener-Hopf techniques, and rational expectations
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Purely classical, frequency-domain methods are useful for solving linear- quadratic dynamic rational expectations models. To illustrate this, generic scalar and multiple-variable problems are solved completely in the frequency domain. The procedure, which utilizes Wiener-Hopf methods to maximize the frequency-domain representation of the objective functions, makes ordinarily troublesome second-order conditions transparent, allows infinite-order costs of adjustment, and handles moving average errors easily.
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- An analytical approach to New Keynesian models under the fiscal theory
- Design limits and dynamic policy analysis
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- The linear systems approach to linear rational expectations models
- Structural asset pricing theory with wavelets
- Aggregate fluctuations, interest rates, and repeated insurance under private information
- Aggregate fluctuations, interest rates, and repeated insurance under private information
- Generalized spectral estimation of the consumption-based asset pricing model
- Signal-jamming in the frequency domain
- The dynamics of strategic information flows in stock markets
- Speculative dynamics
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