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Citations for "Solving the Stochastic Growth Model by Parameterizing Expectations"

by den Haan, Wouter J & Marcet, Albert

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  1. Franck Portier & Luis A. Puch, 2005. "It’s a Small Small Welfare Cost of Fluctuations," Documentos de Trabajo del ICAE 0513, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Ryo Kato & Shinichi Nishiyama, 2001. "Optimal Monetary Policy When Interest Rates are Bound at Zero," Working Papers 01-12, Ohio State University, Department of Economics.
  3. Weifeng Wu & Kiichi Tokuoka & Christopher Carroll, 2012. "The Method of Moderation for Solving Dynamic Stochastic Optimization Problems," 2012 Meeting Papers 1102, Society for Economic Dynamics.
  4. Alexandre Dmitriev & Ivan Roberts, 2013. "International Business Cycles with Complete Markets," RBA Research Discussion Papers rdp2013-08, Reserve Bank of Australia.
  5. William Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 2012. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201215, University of Kansas, Department of Economics, revised Sep 2012.
  6. Elisa Faraglia & Albert Marcet & Andrew Scott, 2011. "In Search of a Theory of Debt Management," CEP Discussion Papers dp1083, Centre for Economic Performance, LSE.
  7. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
  8. G. C. Lim & Paul D. McNelis, 2006. "Inflation Targeting, Learning and Q Volatility in Small Open Economies," Melbourne Institute Working Paper Series wp2006n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  9. Ellison, Martin, 2003. "The Learning Cost of Interest Rate Reversals," CEPR Discussion Papers 4135, C.E.P.R. Discussion Papers.
  10. Algan, Yann & Allais, Olivier & Den Haan, Wouter, 2007. "Solving Heterogeneous-Agent Models with Parameterized Cross-Sectional Distributions," CEPR Discussion Papers 6062, C.E.P.R. Discussion Papers.
  11. Loris Rubini, 2013. "Growth, Structural Transformation, and Volatility," Documentos de Trabajo 444, Instituto de Economia. Pontificia Universidad Católica de Chile..
  12. Michel Juillard & Fabrice Collard, 1999. "Stochastic Simulations of a Non-Linear Phillips Curve Model," Computing in Economics and Finance 1999 144, Society for Computational Economics.
  13. Francesc Obiols-Homs, 2001. "Incomplete unemployment insurance and aggregate fluctuations," Computing in Economics and Finance 2001 192, Society for Computational Economics.
  14. Marcet, Albert & Scott, Andrew, 2001. "Debt and Deficit Fluctuations and the Structure of Bond Markets," CEPR Discussion Papers 3029, C.E.P.R. Discussion Papers.
  15. Gamba, Andrea & Tesser, Matteo, 2009. "Structural estimation of real options models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 798-816, April.
  16. repec:hal:wpaper:halshs-00589129 is not listed on IDEAS
  17. Restrepo-Ochoa, Sergio I. & Vazquez, Jesus, 2004. "Cyclical features of the Uzawa-Lucas endogenous growth model," Economic Modelling, Elsevier, vol. 21(2), pages 285-322, March.
  18. Collard, Fabrice & Juillard, Michel, 1999. "Accuracy of stochastic perturbuation methods: the case of asset pricing models," CEPREMAP Working Papers (Couverture Orange) 9922, CEPREMAP.
  19. Chapman, David A., 1997. "The cyclical properties of consumption growth and the real term structure," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 145-172, July.
  20. Lilia Maliar & Serguei Maliar, 1999. "- Differential Responses Of Labor Supply Across Productivity Groups," Working Papers. Serie AD 1999-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  21. Tor Einarsson & Milton H. Marquis, 2000. "Bank intermediation and persistent liquidity effects in the presence of a frictionless bond market," Working Paper Series 2000-08, Federal Reserve Bank of San Francisco.
  22. Bartholomew Moore & Huntley Schaller, 1997. "Learning, Regime Switches, and Equilibrium Asset Pricing Dynamics," Departmental Working Papers 199501, Rutgers University, Department of Economics.
  23. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
  24. Tor Einarsson & Milton H. Marquis, 2002. "Banks, bonds, and the liquidity effect," Economic Review, Federal Reserve Bank of San Francisco, pages 35-50.
  25. José Cao-Alvira, 2012. "Velocity Volatility Assessment of Monetary Shocks on Cash-in-Advance Economies," Computational Economics, Society for Computational Economics, vol. 40(3), pages 293-311, October.
  26. Lilia Maliar & Serguei Maliar, 2003. "Preference Shocks From Aggregation: Time Series Data Evidence," Working Papers. Serie AD 2003-35, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  27. G.C. Lim & Paul D. McNelis, 2001. "Central Bank Learning, Terms of Trade Shocks & Currency Risk: Should Exchange Rate Volatility Matter for Monetary Policy?," Boston College Working Papers in Economics 509, Boston College Department of Economics.
  28. Richard K. Lyons, 2002. "Foreign exchange: macro puzzles, micro tools," Economic Review, Federal Reserve Bank of San Francisco, pages 51-69.
  29. Einarsson, Tor & Marquis, Milton H., 1997. "Home production with endogenous growth," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 551-569, August.
  30. Mennuni, Alessandro, 2013. "Labor Force Composition and Aggregate Fluctuations," Discussion Paper Series In Economics And Econometrics 1302, Economics Division, School of Social Sciences, University of Southampton.
  31. Olivier Allais, 2004. "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 265-296, April.
  32. Paul McNelis & John Duffy, 1998. "Approximating and Simulating the Stochastic Growth Model: Parameterized Expectations, Neural Networks, and the Genetic Algorithm," GE, Growth, Math methods 9804004, EconWPA, revised 04 May 1998.
  33. Pérez, Javier J. & Sánchez, A. Jesús, 2009. "Alternatives to initialize the Parameterized Expectations Algorithm," Economics Letters, Elsevier, vol. 102(2), pages 116-118, February.
  34. Hoogenveen, Victoria & Sterken, Elmer, 1996. "Parametrization of model consistant expectations in the Sidrauski model," Research Report 96E13, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  35. Lilia Maliar & Serguei Maliar, 2005. "Parameterized Expectations Algorithm: How to Solve for Labor Easily," Computational Economics, Society for Computational Economics, vol. 25(3), pages 269-274, June.
  36. Sefton, J. A., 2000. "A solution method for consumption decisions in a dynamic stochastic general equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1097-1119, June.
  37. Julien Albertini & Arthur Poirier, 2014. "Unemployment benefits extensions at the zero lower bound on nominal interest rate," SFB 649 Discussion Papers SFB649DP2014-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  38. Christophe Gouel, 2013. "Comparing Numerical Methods for Solving the Competitive Storage Model," Computational Economics, Society for Computational Economics, vol. 41(2), pages 267-295, February.
  39. Den Haan, Wouter J & Marcet, Albert, 1994. "Accuracy in Simulations," Review of Economic Studies, Wiley Blackwell, vol. 61(1), pages 3-17, January.
  40. Marquis, Milton H., 1996. "Note on cyclical employment in the consumption goods sector," Economics Letters, Elsevier, vol. 51(2), pages 213-218, May.
  41. Oviedo, P. Marcelo, 2005. "World Interest Rate, Business Cycles, and Financial Intermediation in Small Open Economies," Staff General Research Papers 12360, Iowa State University, Department of Economics.
  42. Lim, G.C. & McNelis, Paul D., 2007. "Central bank learning, terms of trade shocks and currency risk: Should only inflation matter for monetary policy?," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 865-886, October.
  43. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2010. "A Cluster-Grid Projection Method: Solving Problems with High Dimensionality," NBER Working Papers 15965, National Bureau of Economic Research, Inc.
  44. Restrepo Ochoa, Sergio I. & Vázquez Pérez, Jesús, 2002. "Cyclical Features of Uzawa-Lucas Endogenous Growth Model," DFAEII Working Papers 2002-30, University of the Basque Country - Department of Foundations of Economic Analysis II.
  45. den Haan, Wouter J., 1995. "Convergence in stochastic growth models The importance of understanding why income levels differ," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 65-82, February.
  46. Simon Gilchrist & Jae W. Sim, 2007. "Investment during the Korean Financial Crisis: A Structural Econometric Analysis," NBER Working Papers 13315, National Bureau of Economic Research, Inc.
  47. Ellison, Martin & Scott, Andrew, 2000. "Sticky prices and volatile output," Journal of Monetary Economics, Elsevier, vol. 46(3), pages 621-632, December.
  48. Wouter J. Denhaan & Georg Kaltenbrunner, 2005. "Growth Expectations and Business Cycles," 2005 Meeting Papers 29, Society for Economic Dynamics.
  49. Jae Sim & Simon Gilchrist, 2007. "Investment during the Korean financial crisis: A structural econometric approach," 2007 Meeting Papers 53, Society for Economic Dynamics.
  50. Lilia Maliar & Fernando Valli & Serguei Maliar, 2009. "Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm," Working Papers. Serie AD 2009-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  51. G.C. Lim & P.D. McNelis, 2002. "Central Bank Learning, Terms of Trade Shocks & Currency Risks: Should Only Inflation Matter for Monetary Policy?," Computing in Economics and Finance 2002 68, Society for Computational Economics.
  52. Nikolov, Kalin, 2011. "A model of borrower reputation as intangible collateral," MPRA Paper 32939, University Library of Munich, Germany.
  53. Gorostiaga Alonso, Miren Arantzazu, 1999. "Should Fiscal Policy be different in a Non-Competitive Framework?," DFAEII Working Papers 2002-28, University of the Basque Country - Department of Foundations of Economic Analysis II.
  54. Alexandre Dmitriev, 2008. "Technological Transfers, Limited Commitment and Growth," Discussion Papers 2008-05, School of Economics, The University of New South Wales.
  55. Ilaski Barañano, 2001. "Endogenous growth and economic fluctuations," Investigaciones Economicas, Fundación SEPI, vol. 25(3), pages 515-541, September.
  56. Serena Ng & Francisco Ruge-Murcia, 1997. "Explaining the Persistence of Commodity Prices," Boston College Working Papers in Economics 374, Boston College Department of Economics.
  57. Kelly, David L. & Kolstad, Charles D., 1999. "Solving Infinite Horizon Growth Models with an Environmental Sector," University of California at Santa Barbara, Economics Working Paper Series qt3hd4c4v3, Department of Economics, UC Santa Barbara.
  58. Pontus Rendahl, 2013. "Inequality Constraints and Euler Equation based Solution Methods," Cambridge Working Papers in Economics 1320, Faculty of Economics, University of Cambridge.
  59. Fidel Pérez Sebastián, 2001. "Growth And Public Support To Innovation And Imitation," Working Papers. Serie AD 2001-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  60. Carles Ibanez, 2007. "The Asymmetric Outcome of Sticky Price Models," Discussion Papers 07/19, Department of Economics, University of York.
  61. Jana Hromcová, 2005. "Precautionary Money Demand in a Cash-in-Advance Economy with Capital," Computational Economics, Society for Computational Economics, vol. 26(1), pages 51-63, August.
  62. Faraglia, Elisa & Marcet, Albert & Oikonomou, Rigas & Scott, Andrew, 2012. "The Impact of Debt Levels and Debt Maturity on Inflation," CEPR Discussion Papers 9257, C.E.P.R. Discussion Papers.
  63. Serguei Maliar & Lilia Maliar & Kenneth Judd, 2010. "Numerically Stable Stochastic Simulation Approaches for Solving Dynamic Economic Models," 2010 Meeting Papers 280, Society for Economic Dynamics.
  64. Lilia Maliar & Serguei Maliar, 2004. "Solving Nonlinear Dynamic Stochastic Models: An Algorithm Computing Value Functions By Simulations," Working Papers. Serie AD 2004-37, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  65. Jana Hromcová, 2004. "On The Income Velocity Of Money In A Cash-In-Advance Economy With Capital," Working Papers. Serie AD 2004-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  66. Lilia Maliar & Serguei Maliar, 2001. "Parametrized Expectations Algorithm And The Moving Bounds," Working Papers. Serie AD 2001-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  67. Lilia Maliar & Serguei Maliar, 2003. "The Representative Consumer in the Neoclassical Growth Model with Idiosyncratic Shocks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(2), pages 368-380, April.
  68. Carroll, Christopher D., 2006. "The method of endogenous gridpoints for solving dynamic stochastic optimization problems," Economics Letters, Elsevier, vol. 91(3), pages 312-320, June.
  69. Arantza Gorostiaga, 2002. "Should Fiscal Policy Be Di.erent in a Non-Competitive Framework?," Economic Working Papers at Centro de Estudios Andaluces E2002/11, Centro de Estudios Andaluces.
  70. Albert Marcet & Guido Lorenzoni, 1998. "Parameterized expectations approach; Some practical issues," Economics Working Papers 296, Department of Economics and Business, Universitat Pompeu Fabra.
  71. Ueda, Atsuko, 2000. "A Growth Model of "Miracle" in Korea," Journal of Policy Modeling, Elsevier, vol. 22(1), pages 43-59, January.
  72. Marco Maria Sorge, 2010. "A note on Kalman filter approach to solution of rational expectations models," Economics Bulletin, AccessEcon, vol. 30(3), pages 2002-2009.
  73. Ángel Gavilán & Juan A. Rojas, 2009. "Solving Portfolio Problems with the Smolyak-Parameterized Expectations Algorithm," Banco de Espa�a Working Papers 0838, Banco de Espa�a.
  74. Nikolov, Kalin, 2010. "Is Private Leverage Excessive?," MPRA Paper 28407, University Library of Munich, Germany, revised Jun 2010.
  75. Richard Pierse, 2006. "Terminal conditions in forward-looking economic models," School of Economics Discussion Papers 1006, School of Economics, University of Surrey.
  76. Francisco Barillas & Jesús Fernández-Villaverde, 2006. "A Generalization of the Endogenous Grid Method," Levine's Bibliography 122247000000001200, UCLA Department of Economics.
  77. Lim, G. C. & McNelis, Paul D., 2004. "Learning and the monetary policy strategy of the European Central Bank," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 997-1010.
  78. B. Ravikumar & Enchuan Shao, 2010. "Search Frictions and Asset Price Volatility," Working Papers 10-1, Bank of Canada.
  79. Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
  80. Hull, Isaiah, 2013. "Approximate dynamic programming with postdecision states as a solution method for dynamic economic models," Working Paper Series 276, Sveriges Riksbank (Central Bank of Sweden).
  81. Mrkaic, Mico, 2002. "Policy iteration accelerated with Krylov methods," Journal of Economic Dynamics and Control, Elsevier, vol. 26(4), pages 517-545, April.
  82. G. Lim & Paul Mcnelis, 2006. "Central Bank Learning and Taylor Rules with Sticky Import Prices," Computational Economics, Society for Computational Economics, vol. 28(2), pages 155-175, September.
  83. Jeff Fuhrer, 2012. "Real expectations: replacing rational expectations with survey expectations in dynamic macro models," Working Papers 12-19, Federal Reserve Bank of Boston.
  84. Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2399-2426, December.
  85. Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  86. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
  87. repec:spo:wpecon:info:hdl:2441/8845 is not listed on IDEAS
  88. Hugo Rodriguez Mendizabal, 2004. "The Behavior of Money velocity in Low and High Inflation Countries," UFAE and IAE Working Papers 600.04, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  89. Hromcova, Jana, 2003. "Money and growth in a cash-in-advance economy with costly credit," Economic Modelling, Elsevier, vol. 20(6), pages 1113-1136, December.
  90. Christopher D. Carroll, 2005. "Solving Dynamic Stochastic Optimization Problems Using the Method of Endogenous Gridpoints," 2005 Meeting Papers 628, Society for Economic Dynamics.
  91. Tor Einarsson, 2002. "Small Open Economy Model with Domestic Resource Shocks: Monetary Union versus Floating Exchange Rate," Economics Discussion Papers 538, University of Essex, Department of Economics.
  92. repec:spo:wpecon:info:hdl:2441/8823 is not listed on IDEAS
  93. Luisa Corrado & Sean Holly, 2006. "The Linearisation and Optimal Control of Large Non-Linear Rational Expectations Models by Persistent Excitation," Computational Economics, Society for Computational Economics, vol. 28(2), pages 139-153, September.
  94. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series /2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  95. Angyridis, Constantine, 2009. "Balanced budget vs. Tax smoothing in a small open economy: A welfare comparison," Journal of Macroeconomics, Elsevier, vol. 31(3), pages 438-463, September.
  96. Perez-Sebastian, Fidel, 2007. "Public support to innovation and imitation in a non-scale growth model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3791-3821, December.
  97. Ambler, Steve & Pelgrin, Florian, 2010. "Time-consistent control in nonlinear models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2215-2228, October.
  98. Lilia Maliar & Serguei Maliar, 2006. "Capital-Skill Complementarity And Steady-State Growth," Working Papers. Serie AD 2006-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  99. Palm, Franz C. & Pfann, Gerard A., 1998. "Sources of asymmetry in production factor dynamics," Journal of Econometrics, Elsevier, vol. 82(2), pages 361-392, February.