Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Conference or Workshop Paper |
| Scope | Discipline-based scholarship |
| Published in Proceedings | Yes |
| Title | Numerical simulation of nonoptimal dynamic equilibrium models |
| Organization Unit | |
| Authors |
|
| Presentation Type | paper |
| Item Subtype | Original Work |
| Refereed | No |
| Status | Published in final form |
| Language |
|
| Event Title | Zurich Center for Computational Financial Economics and North American Winter Meetings of the Econometric Society, Atlanta |
| Event Type | conference |
| Event Location | Zurich and Atlanta |
| Event Start Date | September 5 - 2009 |
| Event End Date | January 5 - 2010 |
| Abstract Text | In this paper we present a recursive method for the computation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. This method is based on a convergent operator over an expanded set of state variables. The fixed point of this operator defines the set of all Markovian equilibria. We study approximation properties of the operator as well as the convergence of the moments of simulated sample paths. We apply our numerical algorithm to two growth models, an overlapping generations economy with money, and an asset pricing model with financial frictions. |
| Digital Object Identifier | 10.1111/iere.12042 |
| Other Identification Number | merlin-id:443 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|