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Numerical Strategies for Solving the Nonlinear Rational Expectations Commodity Market Model

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  • Miranda, Mario J

Abstract

In this paper, I compare the accuracy, efficiency and stability of different numerical strategies for computing approximate solutions to the nonlinear rational expectations commodity market model. I find that polynomial and spline function collocation methods are superior to the space discretization, linearization and least squares curve-fitting methods that have been preferred by economists in the past. Citation Copyright 1998 by Kluwer Academic Publishers.

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  • Miranda, Mario J, 1998. "Numerical Strategies for Solving the Nonlinear Rational Expectations Commodity Market Model," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 71-87, April.
    • Handle: RePEc:kap:compec:v:11:y:1998:i:1-2:p:71-87
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    Cited by:

    1. Kato, Ryo & Nishiyama, Shin-Ichi, 2005. "Optimal monetary policy when interest rates are bounded at zero," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 97-133, January.
    2. Oglend, Atle & Kleppe, Tore Selland, 2017. "On the behavior of commodity prices when speculative storage is bounded," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 52-69.
    3. Srinivasan, P. V. & Jha, Shikha, 2001. "Liberalized trade and domestic price stability. The case of rice and wheat in India," Journal of Development Economics, Elsevier, vol. 65(2), pages 417-441, August.
    4. Hikaru Hanawa Peterson & William G. Tomek, 2005. "How much of commodity price behavior can a rational expectations storage model explain?," Agricultural Economics, International Association of Agricultural Economists, vol. 33(3), pages 289-303, November.
    5. Tarik Ocaktan & Michel Juillard, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Économie et Prévision, Programme National Persée, vol. 183(2), pages 115-126.
    6. Christophe Gouel, 2013. "Comparing Numerical Methods for Solving the Competitive Storage Model," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 267-295, February.
    7. Peterson, Hikaru Hanawa & Tomek, William G., 2000. "Commodity Price Behavior: A Rational Expectations Storage Model of Corn," Working Papers 127682, Cornell University, Department of Applied Economics and Management.
    8. Miranda, Mario J. & Glauber, Joseph W., 1995. "Solving Stochastic Models Of Competitive Storage And Trade By Chebychev Collocaton Methods," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 24(1), pages 1-8, April.
    9. Diagne, Youssoupha S & Fall, Alsim, 2009. "La spéculation contribue- t- elle à expliquer la dynamique des prix des produits alimentaires au Sénégal ? [Does speculation explain food prices movements in Senegal?]," MPRA Paper 54880, University Library of Munich, Germany.
    10. Vedenov, Dmitry V., 2003. ""Irrational" Planting Behavior As Rational Expectations Of Government Support," 2003 Annual Meeting, February 1-5, 2003, Mobile, Alabama 35237, Southern Agricultural Economics Association.
    11. Frechette, Darren L., 1999. "The Supply Of Storage Under Heterogeneous Expectations," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(3), pages 1-14, December.
    12. Mitraille, Sébastien & Thille, Henry, 2009. "Monopoly behaviour with speculative storage," Journal of Economic Dynamics and Control, Elsevier, vol. 33(7), pages 1451-1468, July.

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