Analytic policy function iteration

DOI10.1016/J.JET.2021.105395MaRDI QIDQ2123175zbMATH OpenOpenAlexFDO

Authors Zhao Han, Fei Tan, Jieran Wu

Publication date 8 April 2022

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2021.105395

zbMATH Keywords

endogenous informationfrequency-domain methodshigher-order expectationspolicy function iteration

Mathematics Subject Classification ID

General equilibrium theory (91B50) Dynamic stochastic general equilibrium theory (91B51) Macroeconomic theory (monetary models, models of taxation) (91B64)

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• Equilibrium with signal extraction from endogenous variables
• Forecasting the forecasts of others: implications for asset pricing
• Heterogeneous beliefs and tests of present value models
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• Linear Stochastic Systems
• Macro-financial volatility under dispersed information
• Signalling Effects of Monetary Policy
• Solving generalized multivariate linear rational expectations models
• Spectral utility, Wiener-Hopf techniques, and rational expectations
• The anatomy of sentiment-driven fluctuations
• The linear systems approach to linear rational expectations models

Cited in

(6)

• Truncated policy iteration methods
• An analytical approach to New Keynesian models under the fiscal theory
• Rational inattention in the frequency domain
• A tractable framework for analyzing a class of nonstationary Markov models
• Rational expectations models with higher-order beliefs
• Solving and analyzing DSGE models in the frequency domain

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