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Minimal state variable solutions to Markov-switching rational expectations models
Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao - In: Journal of Economic Dynamics and Control 35 (2011) 12, pp. 2150-2166
We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov switching rational expectations models and a new algorithm for computing these equilibria. We compare our approach to previously known algorithms, and we demonstrate that ours is both...
Persistent link: https://www.econbiz.de/10010871033
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Modeling urban housing market dynamics: Can the socio-spatial segregation preserve some social diversity?
Gauvin, Laetitia; Vignes, Annick; Nadal, Jean-Pierre - In: Journal of Economic Dynamics and Control 37 (2013) 7, pp. 1300-1321
Addressing issues of social diversity, we introduce a model of housing transactions between agents who are heterogeneous in their willingness to pay. A key assumption is that agents' preferences for a location depend on both an intrinsic attractiveness and on the social characteristics of the...
Persistent link: https://www.econbiz.de/10010871030
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Asset price dynamics with heterogeneous beliefs and local network interactions
Panchenko, Valentyn; Gerasymchuk, Sergiy; Pavlov, Oleg V. - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2623-2642
In this paper we investigate the effects of network topologies on asset price dynamics. We introduce network communications into a simple asset pricing model with heterogeneous beliefs. The agents may switch between several belief types according to their performance. The performance information...
Persistent link: https://www.econbiz.de/10010871048
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Tipping points in macroeconomic agent-based models
Gualdi, Stanislao; Tarzia, Marco; Zamponi, Francesco; … - In: Journal of Economic Dynamics and Control 50 (2015) C, pp. 29-61
The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABMs) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its “phase diagram” in the space of parameters. Our first...
Persistent link: https://www.econbiz.de/10011190663
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Solving asset pricing models with stochastic volatility
de Groot, Oliver - In: Journal of Economic Dynamics and Control 52 (2015) C, pp. 308-321
stochastic volatility. The growth rate of the endowment is a first-order Gaussian autoregression, while the stochastic volatility … using perturbation methods around the deterministic steady state, the approximate solution needs to be sixth-order accurate … in order for the parameter capturing the conditional standard deviation of the stochastic volatility process to be …
Persistent link: https://www.econbiz.de/10011209217
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Numerical computation of the optimal vector field: Exemplified by a fishery model
Grass, D. - In: Journal of Economic Dynamics and Control 36 (2012) 10, pp. 1626-1658
Numerous optimal control models analyzed in economics are formulated as discounted infinite time horizon problems, where the defining functions are nonlinear as well in the states as in the controls. As a consequence solutions can often only be found numerically. Moreover, the long run optimal...
Persistent link: https://www.econbiz.de/10010599364
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Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem
Chen, Shan; Insley, Margaret - In: Journal of Economic Dynamics and Control 36 (2012) 2, pp. 201-219
This paper investigates whether a regime switching model of stochastic lumber prices is better for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two...
Persistent link: https://www.econbiz.de/10010577445
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A polyhedral approximation approach to concave numerical dynamic programming
Fukushima, Kenichi; Waki, Yuichiro - In: Journal of Economic Dynamics and Control 37 (2013) 11, pp. 2322-2335
This paper introduces a numerical method for solving concave continuous state dynamic programming problems which is based on a pair of polyhedral approximations of concave functions. The method is globally convergent and produces computable upper and lower bounds on the value function which can...
Persistent link: https://www.econbiz.de/10010703128
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Solving DSGE models with a nonlinear moving average
Lan, Hong; Meyer-Gohde, Alexander - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2643-2667
and free of unit roots, higher order terms are likewise saddle stable and first order corrections for uncertainty are zero …. We derive the third order approximation explicitly, examine the accuracy of the method using Euler equation tests, and …
Persistent link: https://www.econbiz.de/10010719565
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Solvability of perturbation solutions in DSGE models
Lan, Hong; Meyer-Gohde, Alexander - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 366-388
order in a wide class of discrete time dynamic stochastic general equilibrium (DSGE) models are solvable by standard DSGE … perturbation methods under regularity and saddle point stability assumptions on first order approximations. Extending the approach … existence theorem of perturbation solutions, complete the proof that the policy function is invariant to first order changes in …
Persistent link: https://www.econbiz.de/10011051885