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Abstract

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided.

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File URL: http://www.ifk-cfs.de/fileadmin/downloads/publications/wp/05_18.pdf
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Bibliographic Info

Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number 2005/18.

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Length: 23 pages
Date of creation: 18 Jan 2005
Date of revision:
Handle: RePEc:cfs:cfswop:wp200518

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Web page: http://www.ifk-cfs.de/
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Related research

Keywords: Dynamic optimization; precautionary saving; stochastic growth model; endogenous gridpoints; liquidity constraints;

Other versions of this item:

Find related papers by JEL classification:

• C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
• D9 - Microeconomics - - Intertemporal Choice and Growth
• E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment

This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-09-02 (All new papers)
• NEP-CMP-2005-09-02 (Computational Economics)
• NEP-DGE-2005-09-02 (Dynamic General Equilibrium)
• NEP-MAC-2005-09-02 (Macroeconomics)

References

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1. Christopher D. Carroll, 2009. "Theoretical Foundations of Buffer Stock Saving," 2009 Meeting Papers 210, Society for Economic Dynamics.
   
   • Christopher Carroll, 2004. "Theoretical Foundations of Buffer Stock Saving," NBER Working Papers 10867, National Bureau of Economic Research, Inc.
   • Christopher D. Carroll, 2004. "Theoretical Foundations of Buffer Stock Saving," Economics Working Paper Archive 517, The Johns Hopkins University,Department of Economics.
2. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711.
3. Angus Deaton, 1989. "Saving and Liquidity Constraints," NBER Working Papers 3196, National Bureau of Economic Research, Inc.
   
   • Deaton, Angus, 1991. "Saving and Liquidity Constraints," Econometrica, Econometric Society, vol. 59(5), pages 1221-48, September.
   • Deaton, A., 1989. "Saving And Liquidity Constraints," Papers 153, Princeton, Woodrow Wilson School - Public and International Affairs.
4. den Haan, Wouter J & Marcet, Albert, 1990. "Solving the Stochastic Growth Model by Parameterizing Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 31-34, January.
   
   • Wouter Denhaan & Albert Marcet, 1990. "FORTRAN code for Simulation Parameterized Expecations Algorithm," QM&RBC Codes 57, Quantitative Macroeconomics & Real Business Cycles.

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