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- W3215703048 abstract "We propose an 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. Conditional expectations, which are difficult to evaluate in the time domain, can be calculated efficiently in the frequency domain. 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." @default.
- W3215703048 created "2021-12-06" @default.
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- W3215703048 date "2022-03-01" @default.
- W3215703048 modified "2023-09-23" @default.
- W3215703048 title "Analytic policy function iteration" @default.
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- W3215703048 doi "https://doi.org/10.1016/j.jet.2021.105395" @default.
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