We compare projection methods with the standard value function grid algorithm in order to solve overlapping generations models. We apply the methods to a particular 60-period OLG model with elastic labor supply in order to study the effects of unfunded public pensions on aggregate savings and...

We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...

We study a class of infinite-horizon nonlinear dynamic economic models in which preferences, technology and laws of motion for exogenous variables can change over time either deterministically or stochastically, according to a Markov process with time-varying transition probabilities, or both....

This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and assess their accuracy and stability properties. This analysis is useful for an optimal implementation and testing of these procedures, as well as to evaluate their performance....

This chapter aims to provide a hands-on approach to New Keynesian models and their uses for macroeconomic policy analysis. It starts by reviewing the origins of the New Keynesian approach, the key model ingredients and representative models. Building blocks of current-generation dynamic...

Este artículo presenta una metodología para la estimación anual de Matrices de Contabilidad Social (SAM, Social Accounting Matrix, en terminología anglosajona). Esta metodología ha sido desarrollada para construir estas matrices a partir de datos procedentes de las Cuentas Nacionales y de...

En este artículo describimos la metodología utilizada para construir un modelo lineal de demanda para analizar la distribución de la renta, haciendo uso de una matriz de contabilidad social regional donde las familias están agrupadas por niveles de renta. El modelo de demanda nos permite...

We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method. Codes are available.

Energy economy optimization (EEO) models employ formal search techniques to explore the future decision space over several decades in order to deliver policy-relevant insights. EEO models are a critical tool for decision-makers who must make near-term decisions with long-term effects in the face...

In the CGE based policy modeling literature, especially recent literature on policy modeling for global climate change, nested CES production functions over multiple inputs have been widely used. Although lack of reliable estimates of substitution elasticities for nested structures has been...