Rational Expectations Models with Higher-Order Beliefs
提出一种求解信息分散且具有动态战略互补性的理性预期模型的方法，证明当信号服从有限ARMA过程时均衡结果具有有限状态表示，并展示了该方法在比较静态分析、HANK型网络博弈等中的应用。
Abstract We develop a method of solving rational expectations models with dispersed information and dynamic strategic complementarities. In these types of models, the equilibrium outcome hinges on an infinite number of higher-order expectations which require an increasing number of state variables to keep track of. Despite this complication, we prove that the equilibrium outcome always admits a finite-state representation when the signals follow finite ARMA processes. We also show that such a finite-state result may not hold with endogenous information aggregation. We further illustrate how to use the method to derive comparative statics, characterize equilibrium outcomes in HANK-type network games, reconcile with empirical evidence on expectations, and integrate incomplete information with bounded rationality in general equilibrium.