Analytic Policy Function Iteration

主讲人: Jieran Wu

Jieran Wu is now an associate professor of finance at the school of economics, Zhejiang University. His Research Interests includes macro-finance theory, asset pricing, and computational and mathematical economics.  In particular, I am interested in the study of information and learning in macroeconomics and finance. Prior to his position at Zhejiang University, he earned his Ph.D. in economics from the University of Virginia, U.S.A.

主持人: Jianpo Xue

We propose a novel approach of solving and analyzing linear rational expectations models with endogenous information frictions. Our approach is build upon policy function iterations in the frequency domain. We develop the theoretical framework of this approach using rational approximations, analytic continuation, and discrete Fourier transform. We provide the numerical implementations accompanied with a computational toolbox. We demonstrate the efficiency and accuracy of our method by studying four models in macroeconomics and finance that feature “learning from price", higher-order expectations, and general equilibrium rational inattention.

时间: 2021-05-13(Thursday)16:40-18:00
地点: Room N302, Economics Building
主办单位: 厦门大学经济学院、王亚南经济研究院
承办单位: 厦门大学经济学院、王亚南经济研究院
类型: 系列讲座