On the solution of the linear rational expectations model with multiple lags

Kruiniger, Hugo

Abstract

In this paper the symmetric linear rational expectations model from Kollintzas (1985) is generalized by allowing for multiple lags. By using a convenient decomposition of the matrix lag polynomial of the Euler–Lagrange equations that encompasses that for the Kollintzas model, it is shown that the model admits a unique stable solution. The stability condition derived by Kollintzas turns out to be valid in the more general setting. Moreover a procedure is given to obtain a particularly useful representation of the solution that is as close as possible to a closed form representation.

Citation

Kruiniger, H. (2000). On the solution of the linear rational expectations model with multiple lags. Journal of Economic Dynamics and Control, 24(4), 535-559. https://doi.org/10.1016/S0165-1889%2899%2900006-8

• Journal Article Type: Article
• Online Publication Date: Dec 27, 1999
• Publication Date: 2000-04
• Deposit Date: Dec 12, 2023
• Journal: Journal of Economic Dynamics and Control
• Print ISSN: 0165-1889
• Electronic ISSN: 1879-1743
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 24
• Issue: 4
• Pages: 535-559
• DOI: https://doi.org/10.1016/S0165-1889%2899%2900006-8
• Public URL: https://durham-repository.worktribe.com/output/2023186