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Production technologies in stochastic continuous time models

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  • Wälde, Klaus

Abstract

Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a large class of models some of which, however, have some undesirable features such as potentially negative output. This paper offers closed-form solutions for models which are just as tractable but do not suffer from these shortcomings.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 35 (2011)
Issue (Month): 4 (April)
Pages: 616-622

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Handle: RePEc:eee:dyncon:v:35:y:2011:i:4:p:616-622

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Keywords: Dynamic stochastic general equilibrium models Closed-form solution Continuous time Jump diffusion;

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Citations

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Cited by:
  1. Posch, Olaf & Trimborn, Timo, 2013. "Numerical solution of dynamic equilibrium models under Poisson uncertainty," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(12), pages 2602-2622.
  2. Dai, Darong, 2012. "Comparative Studies on Cooperative Stochastic Differential Game and Dynamic Sequential Game of Economic Maturity," MPRA Paper 44339, University Library of Munich, Germany.
  3. Olaf Posch, 2008. "Explaining output volatility: The case of taxation," CREATES Research Papers 2008-04, School of Economics and Management, University of Aarhus.
  4. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo Group Munich.
  5. Jetter, Michael & Nikolsko-Rzhevskyy, Alex & Smith, William T., 2013. "The effects of wage volatility on growth," Journal of Macroeconomics, Elsevier, Elsevier, vol. 37(C), pages 93-109.
  6. A. Bucci & C. Colapinto & M. Forster & D. La Torre, 2011. "Stochastic technology shocks in an extended Uzawa–Lucas model: closed-form solution and long-run dynamics," Journal of Economics, Springer, vol. 103(1), pages 83-99, May.
  7. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, School of Economics and Management, University of Aarhus.

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