Most available results on optimal decisions under partial information are derived under “separation”. But this principle does not always hold. We derive a non-standard first order condition of optimality from first principles when signal extraction and optimal policy must be jointly determined. This allows us to solve a model of optimal fiscal policy where separation does not apply. Tax smoothing prevails in normal times, but taxes respond strongly in recessions. This non-linearity arises because signal extraction interacts differently with optimal policy depending on the value of the observed signals. Existing results based on the “separation principle” follow as special cases.

在部分信息下，关于最佳决策的大多数可用结果是在“分离”下得出的。但是这个原则并不总是成立。当必须共同确定信号提取和最优策略时，我们从第一原理得出非标准的最优一阶条件。这使我们能够解决不适用分离的最佳财政政策模型。正常情况下，通常会进行税收平滑，但在经济衰退期间，税收反应强烈。之所以会出现这种非线性，是因为信号提取会根据观察到的信号的值与最佳策略发生不同的交互作用。作为特殊情况，将遵循基于“分离原理”的现有结果。