This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with numerical methods. But this implies that, instead of the exact likelihood function, the researcher...

Shoven und Whalley, die Wegbereiter der angewandten Gleichgewichtsanalyse, haben in ihrem bekannten JEL-Übersichtsartikel von 1984 das Los der Gleichgewichtsmodellierer als ?jack of all trades? beklagt. Ziel unseres Beitrags ist es, angenehmere ?Wege zum Gleichgewicht? aufzuzeigen. Unser...

We study optimal monetary policy in a flexible state-dependent pricing framework, in which monopolistic competition and stochastic menu costs are the only distortions. We show analytically that it is optimal to commit to zero inflation in the long run. Moreover, our numerical simulations...

We compare the numerical methods that are most widely applied in the computation of the standard business cycle model with flexible labor. The numerical techniques imply economically insignificant differences with regard to business cycle summary statistics except for the volatility of...

We describe an algorithm that is able to compute the solution of a singular linear difference system under rational expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example.

Wir beschreiben die Einsatzmöglichkeiten von numerischen Gleichgewichtsmodellen als Instrument zur Messung der Auswirkungen von Politikmaßnahmen auf die drei Dimensionen nachhaltiger Entwicklung: Ökologie, Ökonomie und soziale Gerechtigkeit. Diese Dimensionen sind eng miteinander verbunden...

We consider a real business cycle model with a productive externality and an aggregate non- convex technology set µa la Benhabib and Farmer embodying capacity utilization, which exhibits indeterminacy of the steady state and multiplicity of deterministic equilibria under plausible values of the...

This note examines the accuracy of methods that are commonly used to approximate AR(1)-processes with discrete Markov chains. The quadrature-based method suggested by Tauchen and Hussey (1991) generates excellent approximations with a small number of nodes when the autocorrelation is low or...

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as volatility smile. They provide a discrete...

We explore how outcomes of trade policy retaliation (Nash tariff games) are affected when trade simultaneously takes places geographically across countries and through time via financial intermediation. In such models deficits and surpluses in goods trade are endogenously determined, and...