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Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm

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Author Info
Lilia Maliar () (Universidad de Alicante)
Fernando Valli (Universidad de Alicante)
Serguei Maliar (Universidad de Alicante)

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Abstract

This paper studies the properties of the solution to the heterogeneous agents model in Den Haan, Judd and Juillard (2008). To solve for the individual policy rules, we use an Euler-equation method iterating on a grid of prespecified points. To compute the aggregate law of motion, we use the stochastic-simulation approach of Krusell and Smith (1998). We also compare the stochastic- and non-stochastic-simulation versions of the Krusell-Smith algorithm, and we find that the two versions are similar in terms of their speed and accuracy.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2009-03.pdf
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File Function: Fisrt version / Primera version, 2009
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Publisher Info
Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2009-03.

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Length: 24 pages
Date of creation: Jan 2009
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Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2009-03

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  1. Pamela Ortiz Arévalo, 2009. "Does sex education influence sexual and reproductive behaviour of women? Evidence from Mexico," Working Papers. Serie AD 2009-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  2. María Dolores Furió & Vicente Meneu, 2009. "Expectations and Forward Risk Premium in the Spanish Power Market," Working Papers. Serie AD 2009-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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This page was last updated on 2009-11-15.

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