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Production Technologies in Stochastic Continuous Time Models

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  • Klaus Wälde

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. This paper offers closed-form solutions for models which are just as tractable but do not suffer from these shortcomings.

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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2831.

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Date of creation: 2009
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Handle: RePEc:ces:ceswps:_2831

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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. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade c016_044, DEGIT, Dynamics, Economic Growth, and International Trade.
  2. Olaf Posch, 2006. "Explaining Output Volatility: the Case of Taxation," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20608, Hamburg University, Department of Economics.
  3. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series, CESifo Group Munich 3131, CESifo Group Munich.
  4. 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, Springer, vol. 103(1), pages 83-99, May.
  5. 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.
  6. 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.
  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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