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Heterogeneity in Macroeconomics and the Minimal Econometric Interpretation for Model Comparison

Cozzi, Marco - Economics Department, Queen's University - 2014

This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...

Persistent link: https://www.econbiz.de/10011085028

Adverse Selection, Risk Sharing and Business Cycles

Veracierto, Marcelo - Federal Reserve Bank of Chicago - 2014

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...

Persistent link: https://www.econbiz.de/10011093788

Comparing Solution Methods for DSGE Models with Labor Market Search

Lan, Hong - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...

Persistent link: https://www.econbiz.de/10010895344

The Krusell-Smith Algorithm: Are Self-fulfilling Equilibria Likely?

Cozzi, Marco - Economics Department, Queen's University - 2014

I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneous-agent economies with … the new initial guess to compute the equilibrium with this algorithm. In a sequence of cases, differing only in the … result lies in a self-correcting mechanism present in the algorithm: compared to the equilibrium law of motion, a candidate …

Persistent link: https://www.econbiz.de/10010885962

Occasionally Binding Collateral Constraints in RBC Models

Espino, Emilio; Hintermaier, Thomas - Society for Economic Dynamics - SED - 2004

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...

Persistent link: https://www.econbiz.de/10005069549

Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei - Department of Economics, Brigham Young University - 2014

We propose a novel methodology for evaluating the accuracy of numerical solutions to dynamic economic models. Specifically, we construct a lower bound on the size of approximation errors. A small lower bound on errors is a necessary condition for accuracy: If a lower error bound is unacceptably...

Persistent link: https://www.econbiz.de/10011273946

Value Function Iteration as a Solution Method for the Ramsey Model

Heer, Burkhard; Maußner, Alfred - In: Journal of Economics and Statistics (Jahrbuecher fuer … 231 (2011) 4, pp. 494-515

Value function iteration is one of the standard tools for the solution of dynamic general equilibrium models if the dimension of the state space is one ore two. We consider three kinds of models: the deterministic and the stochastic growth model and a simple heterogenous agent model. Each model...

Persistent link: https://www.econbiz.de/10009369197

Computing DSGE Models with Recursive Preferences and Stochastic Volatility

Caldara, Dario; Fernandez-Villaverde, Jesus; … - In: Review of Economic Dynamics 15 (2012) 2, pp. 188-206

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models with these two features have recently become popular,...

Persistent link: https://www.econbiz.de/10009319470

Una evaluación de la efectividad y el impacto en el bienestar de los controles de capital en Colombia

Poveda, Daniel; Hamann, Franz - UNIVERSIDAD DE LOS ANDES-CEDE - 2013

El objetivo de este trabajo es responder dos preguntas de política relacionadas con el uso de un depósito no remunerado como forma de control de capitales en una economía pequeña y abierta como la colombiana: ¿Son un instrumento efectivo para reducir el endeudamiento externo de los agentes...

Persistent link: https://www.econbiz.de/10010796058

A comparison of numerical methods for the solution of continuous-time DSGE models

Parra-Alvarez, Juan Carlos - School of Economics and Management, University of Aarhus - 2013

This paper evaluates the accuracy of a set of techniques that approximate the solution of continuous-time DSGE models. Using the neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All techniques are applied to the HJB equation and the optimality conditions...

Persistent link: https://www.econbiz.de/10010851250

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