Computing Models with Recursive Preferences
AbstractThis paper compares different solution methods for the computation of the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences. Over the last decade, a growing number of researchers have investigated models with recursive preferences of the type first proposed by Kreps and Porteus (1978) and later generalized by Epstein and Zin, (1989 and 1991) and Weil (1990). These economist have been attracted by the extra flexibility of separating risk aversion and intertemporal elasticity of substitution and some for the intuitive appealing of having preferences for early or later resolution of uncertainty. Despite a large manifold of papers using recursive preferences, little is known about the numerical properties of the different solution methods that solve models with these type of preferences. This paper attempts at filling this gap in the literature. We solve the model using three different approaches: value function iteration, Chebyshev polynomials, and perturbation. This paper complements a previous paper by Aruoba, Fernández-Villaverde, and Rubio-Ramírez (2006), where a similar exercise is performed with the neoclassical growth model with CRRA utility function.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 1162.
Date of creation: 2009
Date of revision:
Contact details of provider:
Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Francois Gourio, 2009.
"Disaster risk and business cycles,"
2009 Meeting Papers
1176, Society for Economic Dynamics.
- Olaf Posch & Timo Trimborn, 2010.
"Numerical solution of continuous-time DSGE models under Poisson uncertainty,"
Economics Working Papers
2010-08, School of Economics and Management, University of Aarhus.
- Posch, Olaf & Trimborn, Timo, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Hannover Economic Papers (HEP) dp-450, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
If references are entirely missing, you can add them using this form.