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Numerical Simulation of Nonoptimal Dynamic Equilibrium Models

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  • Zhigang Feng

    (University of Miami)

  • Manuel Santos

    (University of Miami)

  • Adrian Peralta-Alva

    (Federal Reserve Bank of Saint Louis)

  • Jianjun Miao

    (Boston University)

Abstract

equilibria in models with heterogeneous agents and market frictions. This method is based upon a convergent operator over an expanded set of state variables. The fixed point of this operator defines the set of all Markovian equilibria. We study approximation properties of the operator as well as the convergence of the moments of simulated sample paths. We apply our numerical algorithm to two stochastic growth economies, an overlapping generations economy with money, and an asset pricing model with financial frictions

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Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 541.

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Date of creation: 2009
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Handle: RePEc:red:sed009:541

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Citations

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Cited by:
  1. Adrian Peralta-Alva & Manuel S. Santos, 2009. "Problems in the numerical simulation of models with heterogeneous agents and economic distortions," Working Papers 2009-036, Federal Reserve Bank of St. Louis.
  2. Yi Wen & Huabin Wu, 2008. "Dynamics of externalities: a second-order perspective," Working Papers 2008-044, Federal Reserve Bank of St. Louis.
  3. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Analysis of Numerical Errors," Working Papers 2012-6, University of Miami, Department of Economics.
  4. Zhigang Feng, 2013. "Tackling indeterminacy in overlapping generations models," Computational Statistics, Springer, vol. 77(3), pages 445-457, June.
  5. Balbus, Łukasz & Reffett, Kevin & Woźny, Łukasz, 2012. "Stationary Markovian equilibrium in altruistic stochastic OLG models with limited commitment," Journal of Mathematical Economics, Elsevier, vol. 48(2), pages 115-132.
  6. Jaime McGovern & Olivier Morand & Kevin Reffett, 2013. "Computing minimal state space recursive equilibrium in OLG models with stochastic production," Economic Theory, Springer, vol. 54(3), pages 623-674, November.
  7. Winfried Koeniger & Thomas Hintermaier, 2012. "Collateral constraints and macroeconomic volatility," 2012 Meeting Papers 390, Society for Economic Dynamics.
  8. Crettez, Bertrand & Morhaim, Lisa, 2012. "Existence of competitive equilibrium in a non-optimal one-sector economy without conditions on the distorted marginal product of capital," Mathematical Social Sciences, Elsevier, vol. 63(3), pages 197-206.
  9. Balbus, Łukasz & Reffett, Kevin & Woźny, Łukasz, 2013. "A constructive geometrical approach to the uniqueness of Markov stationary equilibrium in stochastic games of intergenerational altruism," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1019-1039.
  10. Thomas Mertens, 2012. "Solving General Incomplete Market Models with Substantial Heterogeneity," 2012 Meeting Papers 1173, Society for Economic Dynamics.
  11. Felix Kubler & Johannes Brumm, 2013. "Applying Negishi's method to stochastic models with overlapping generations," 2013 Meeting Papers 1352, Society for Economic Dynamics.

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