时 间：2024年6月5日 13:00 - 14:30
地 点：普陀校区理科大楼A1514
报告人：谈非 圣路易斯大学副教授
主持人：李超君 华东师范大学助理教授
摘 要：
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.
报告人简介：
谈非，毕业于美国印第安纳大学数学系和经济系，毕业后加入圣路易斯大学商学院任教，目前任职为副教授。研究领域包括宏观经济学、贝叶斯统计和博弈论。研究成果包括开发时域和频域方法来处理动态均衡模型中的预期形成，以及用于估计大规模结构模型的马尔可夫链蒙特卡罗方法。这些工具被广泛应用于研究货币和财政政策、资产价格以及社交网络。