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Parallel Computation of Sovereign Default Models

Author

Listed:
  • Mingzhuo Deng

    (University of Pennsylvania)

  • Pablo A. Guerron-Quintana

    (Boston College)

  • Lewis Tseng

    (Boston College)

Abstract

This paper discusses the parallel and efficient computation of macroeconomic models, with an emphasis on solving sovereign default models. Our motivation is twofold. First, we aim to streamline complex numerical models in a parallel computation fashion. Second, we want to unleash the power of graphic processing unit but bypass the steep learning and implementation costs of languages like C++ and Compute Unified Device Architecture (CUDA) in economic research. To this end, we propose a framework for efficient parallel computing with the modern language Julia. The paper offers a detailed analysis of parallel computing, Julia-style acceleration techniques, and coding recommendations. The Julia with CUDA benchmark shows a substantial speedup of over 1000 times compared to standard Julia that runs on a CPU. Our Julia with CUDA’s implementation is twice as fast as that of the C++ Standard Parallel Library. We provide an accompanying GitHub repository with the codes and the benchmarks used in this paper.

Suggested Citation

  • Mingzhuo Deng & Pablo A. Guerron-Quintana & Lewis Tseng, 2023. "Parallel Computation of Sovereign Default Models," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1047-1085, October.
    • Handle: RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10291-1
    DOI: 10.1007/s10614-022-10291-1
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    References listed on IDEAS

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    1. Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2010. "Quantitative properties of sovereign default models: solution methods," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(4), pages 919-933, October.
    2. Tauchen, George, 1986. "Finite state markov-chain approximations to univariate and vector autoregressions," Economics Letters, Elsevier, vol. 20(2), pages 177-181.
    3. Cristina Arellano, 2008. "Default Risk and Income Fluctuations in Emerging Economies," American Economic Review, American Economic Association, vol. 98(3), pages 690-712, June.
    4. Fernández-Villaverde, Jesús & Zarruk Valencia , David, 2018. "A Practical Guide to Parallelization in Economics," CEPR Discussion Papers 12890, C.E.P.R. Discussion Papers.
    5. Aruoba, S. Borağan & Fernández-Villaverde, Jesús, 2015. "A comparison of programming languages in macroeconomics," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 265-273.
    6. Grey Gordon & Pablo Guerron-Quintana, 2019. "A Quantitative Theory of Hard and Soft Sovereign Defaults," 2019 Meeting Papers 412, Society for Economic Dynamics.
    7. Mr. Leonardo Martinez & Horacio Sapriza & Juan Carlos Hatchondo, 2010. "Quantitative properties of sovereign default models: solution methods matter," IMF Working Papers 2010/100, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

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