Advanced Search
MyIDEAS: Login to save this paper or follow this series

Computing Models with Recursive Preferences

Contents:

Author Info

  • Wen Yao

    (University of Pennsylvania)

  • Juan Rubio Ramirez

    (Duke University)

  • Jesus Fernandez Villaverde

    (University of Pennsylvania)

  • Dario Caldara

    (Institute for International Economic Studies)

Abstract

This 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 Info

To 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 Info

Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 1162.

as in new window
Length:
Date of creation: 2009
Date of revision:
Handle: RePEc:red:sed009:1162

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
Fax: 1-314-444-8731
Email:
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.
  2. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-66, October.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:red:sed009:1162. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.