Analytic Policy Function Iteration

演讲人：邬介然

时间：2021年10月21日 14:00 – 15:30

地点：承泽园132

Abstract：We propose a novel approach to solving and analyzing linear rational expectations models with general information frictions. Our approach is built upon policy function iterations in the frequency domain. We develop the theoretical framework of this approach using rational approximation, analytic continuation, and discrete Fourier transform. We provide the numerical implementation accompanied by a flexible object-oriented toolbox. We demonstrate the efficiency and accuracy of our method by studying four models in macroeconomics and finance that feature asymmetric information sets, endogenous signals, and higher-order expectations.

演讲人介绍：邬介然，浙江大学经济学院副教授。主要研究方向为宏观金融，信息摩擦，与数理经济学。研究成果发表在Econometrica, Theoretical Economics等国际顶级期刊。