Analytical and Numerical Solution of a Poisson RBC model
This paper analyses a RBC model in continuous time featuring deterministic incremental development of technology and stochastic fundamental inventions arriving according to a Poisson process. Other than in standard RBC models, shocks are uncorrelated, irregular and rather seldom. In two special cases analytical solutions are presented. In the general case a delay differential equation (DDE) has to be solved. Standard numerical solution methods fail, because the steady state is path dependent. A new solution based on a modified method of steps for DDEs provides not only approximations but also upper and lower bounds for optimal consumption path and steady state.
|Date of creation:||2004|
|Date of revision:|
|Contact details of provider:|| Postal: 01062 Dresden|
Phone: ++49 351 463 2196
Fax: ++49 351 463 7739
Web page: http://www.tu-dresden.de/wiwi/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- George W. Stadler, 1994. "Real Business Cycles," Journal of Economic Literature, American Economic Association, vol. 32(4), pages 1750-1783, December.
- Boucekkine, Raouf & Licandro, Omar & Paul, Christopher, 1997.
"Differential-difference equations in economics: On the numerical solution of vintage capital growth models,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 21(2-3), pages 347-362.
- Raouf Boucekkine & Omar Licandro & Christopher Paul, . "Differential-Difference Equations in Economics: On the Numerical Solution of Vintage Capital Growth Models," Computing in Economics and Finance 1996 _036, Society for Computational Economics.
- Boucekkine, Raouf & Del Rio, Fernando & Licandro, Omar, 1999.
"Endogenous vs exogenously driven fluctuations in vintage capital models,"
CEPREMAP Working Papers (Couverture Orange)
- Boucekkine, Raouf & del Rio, Fernando & Licandro, Omar, 1999. "Endogenous vs Exogenously Driven Fluctuations in Vintage Capital Models," Journal of Economic Theory, Elsevier, vol. 88(1), pages 161-187, September.
- Boucekkine, Raouf & del Rio, Fernando & Licandro, Omar, 1999. "Endogenous vs Exogenously Driven Fluctuations in Vintage Capital Models," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Raouf Boucekkine & Fernando del Río & Omar Licandro, . "Endogenous vs Exogenously Driven Fluctuations in Vintage Capital Models," Working Papers 98-19, FEDEA.
- Walde, Klaus, 1999. "Optimal Saving under Poisson Uncertainty," Journal of Economic Theory, Elsevier, vol. 87(1), pages 194-217, July.
- Robert J. Barro & N. Gregory Mankiw & Xavier Sala-i-Martin, 1994.
"Capital mobility in Neoclassical models of growth,"
Economics Working Papers
82, Department of Economics and Business, Universitat Pompeu Fabra.
- Barro, R.J. & Mankiw, N.G. & Sala-i-Martin, X., 1992. "Capital Mobility in Neoclassical Models of Growth," Papers 655, Yale - Economic Growth Center.
- Robert J. Barro & N. Gregory Mankiw & Xavier Sala-i-Martin, 1992. "Capital Mobility in Neoclassical Models of Growth," NBER Working Papers 4206, National Bureau of Economic Research, Inc.
- Barro, Robert J. & Mankiw, N Gregory & Sala-i-Martin, Xavier, 1994. "Capital Mobility in Neoclassical Models of Growth," CEPR Discussion Papers 1019, C.E.P.R. Discussion Papers.
- Barro, R. & Mankiw, G., 1992. "Capital Mobility in Neoclassical Models of Growth," Harvard Institute of Economic Research Working Papers 1615, Harvard - Institute of Economic Research.
- Stephen Redding, 2002.
"Path Dependence, Endogenous Innovation, and Growth,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(4), pages 1215-1248, November.
- Stephen Redding, 2002. "Path dependence, endogenous innovation, and growth," LSE Research Online Documents on Economics 208, London School of Economics and Political Science, LSE Library.
- Stephen Redding, 1999. "Path Dependence, Endogenous Innovation and Growth," CEP Discussion Papers dp0424, Centre for Economic Performance, LSE.
- Walde, Klaus, 2002. "The economic determinants of technology shocks in a real business cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 27(1), pages 1-28, November.
- Benhabib, Jess & Rustichini, Aldo, 1994. "A note on a new class of solutions to dynamic programming problems arising in economic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 807-813.
- Long, John B, Jr & Plosser, Charles I, 1983. "Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 39-69, February.
When requesting a correction, please mention this item's handle: RePEc:zbw:tuddps:0504. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.