We propose an approximation method for analyzing Ericson and Pakes (1995)-style dynamic models of imperfect competition. We develop a simple algorithm for computing an ``oblivious equilibrium,'' in which each firm is assumed to make decisions based only on its own state and knowledge of the long...

This paper develops a globally convergent algorithm which modifies standard block Gauss-Seidel iterations used by tatonnement methods for solving large scale deterministic heterogenous agent models. It is shown that the restrictions on the structure of the Jacobi matrix implicit in any such...

In this paper we measure the welfare cost of fluctuations in a simple representative agent economy with nonclearing markets. The market friction we consider involves price rigidities and a voluntary exchange rationing scheme. These features are incorporated into an otherwise standard...

First-order approximations to the solution to a Dynamic Stochastic General Equilibrium Model (DGSE) are now widely used in the literature. In particular, the solution is usually based on the standard log-linearisation procedure around the steady-state. However, it may be not enough especially...

The real business cycle (RBC) model pioneered by Kydland and Prescott (1982) was a fundamental step to understand business cycles. This literature, in general, claims that aggregate technology shocks are the main ingredient to explain these fluctuations. However, in order to match various...

This paper develops a relatively simple method for computing the Markov Perfect Equilibria of dynamic games with asymmetric information (see Maskin and Tirole (1992, 2001)). We consider a class of dynamic games in which there is finite number of active players in each period, each characterized...

The main contribution of this work is to provide a dynamic general equilibrium model of asset allocation, allowing to reconcile economic theory with several puzzling contradictions recently pointed out in the literature: (i) the asset allocation puzzle, (ii) the observed time-variation in...