کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098546 | 1478705 | 2014 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Solving DSGE portfolio choice models with dispersed private information
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Noisy rational expectations models, in which agents have dispersed private information and extract information from an endogenous asset price, are widely used in finance. However, these linear partial equilibrium models do not fit well in modern macroeconomics that is based on non-linear dynamic general equilibrium models. We develop a method for solving a DSGE model with portfolio choice and dispersed private information. We combine and extend existing local approximation methods applied to public information DSGE settings with methods for solving noisy rational expectations models in finance with dispersed private information.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 40, March 2014, Pages 1-24
Journal: Journal of Economic Dynamics and Control - Volume 40, March 2014, Pages 1-24
نویسندگان
Cédric Tille, Eric van Wincoop,