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

✍ Scribed by Hugo Kruiniger

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 197 KB
• Volume: 24
• Category: Article
• ISSN: 0165-1889
• DOI: 10.1016/s0165-1889(99)00006-8

✦ Synopsis

In this paper the symmetric linear rational expectations model from 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.