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Type | Conference or Workshop Paper |
Scope | Discipline-based scholarship |
Published in Proceedings | Yes |
Title | A smolyak collocation algorithm for an international real business cycle model |
Organization Unit | |
Authors |
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Presentation Type | paper |
Item Subtype | Original Work |
Refereed | No |
Status | Published in final form |
Language |
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Event Title | 14th International Conference on Computing in Economics and Finance (Society for Computational Economics SCE) |
Event Type | conference |
Event Location | Paris |
Event Start Date | June 26 - 2008 |
Event End Date | June 28 - 2008 |
Publisher | Cepremap |
Abstract Text | We describe a sparse grid collocation algorithm to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method may be in applications by computing the nonlinear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with 2, 4, and 6 countries (i.e., up to 12 continuous state variables). |
Official URL | http://www.cepremap.fr/ |
Related URLs | |
Other Identification Number | merlin-id:537 |
PDF File | Download from ZORA |
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Additional Information | Der ungekürzte Titel des Papers lautet: "Computing stochastic dynamic economic models with a large number of state variables: a description and application of a smolyak-collocation method" |