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Numerical Simulation of Nonoptimal Dynamic Equilibrium Models

  • Zhigang Feng

    (University of Miami)

  • Manuel Santos

    (University of Miami)

  • Adrian Peralta-Alva

    (Federal Reserve Bank of Saint Louis)

  • Jianjun Miao

    (Boston University)

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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