Recursive Linear Models of Dynamic Economies

Lars Hansen and Thomas Sargent

No 3479, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper describes a class of dynamic stochastic linear quadratic equilibrium models. A model is specified by naming lists of matrices that determine preferences, technology, and the information structure. Aggregate equilibrium allocations and prices are computed by solving a social planning problem in the form of an optimal linear regulator. Heterogeneity among agents is permitted. Several examples are computed.

Date: 1990-10
Note: EFG
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Citations: View citations in EconPapers (22)

Published as Hansen, Lars Peter, and Ravi Jagannathan, published as "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, Vol. 99, no. 2 (1991): p. 225-262.
Published as Lars Peter Hansen & Thomas J. Sargent, 1993. "Recursive linear models of dynamic economies," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.

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