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Computation of business-cycle models with the Generalized Schur Method
Heer, Burkhard; Maußner, Alfred - 2009
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. -- stochastic dynamic … general equilibrium ; linear solution methods ; algorithm ; Generalized Schur factorization ; business cycles …
Persistent link: https://www.econbiz.de/10003922867
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Computation of Business-Cycle Models with the Generalized Schur Method
Heer, Burkhard - 2009
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 …
Persistent link: https://www.econbiz.de/10013153227
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Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison
Cozzi, Marco - 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/10010434845
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The Krusell-Smith algorithm : are self-fulfilling equilibria likely?
Cozzi, Marco - 2014
I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneousagent economies with aggregate … guess to compute the equilibrium with this algorithm. In a sequence of cases, differing only in the magnitude of the …-correcting mechanism present in the algorithm: compared to the equilibrium law of motion, a candidate one implying a higher (lower …
Persistent link: https://www.econbiz.de/10010348847
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Recursive equilibrium in Krusell and Smith (1998)
Cao, Dan Vu - 2018
This paper uses the tools developed in the literature on dynamically incomplete markets with finite agents to study the large economy with a continuum of agents and both aggregate and idiosyncratic shocks in Krusell and Smith (1998). It establishes the existence of sequential competitive...
Persistent link: https://www.econbiz.de/10011919029
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Firms' heterogeneity, endogenous entry, and exit decisions
Totzek, Alexander - 2009
As GDP is highly correlated with both entering and exiting firms, we develop a totally microfounded DSGE model with endogenous firms entry as well as exit decisions. We show that the simplifying assumption of a constant firms' death rate made by the recent literature on DSGE modelling can lead...
Persistent link: https://www.econbiz.de/10010299744
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Solution Strategies of Dynamic Stochastic General Equilibrium (DSGE) Models
Alali, Dr Walid Y - 2023
DSGE models are the main tool for analysing various questions in problems of monetary, business cycle theory and fiscal policy problems, growth and other fields in international macroeconomics and macroeconomics. Many macroeconomic publications use the DSGE framework. A consensus has been...
Persistent link: https://www.econbiz.de/10014260473
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Decomposing risk in dynamic stochastic general equilibrium : conference paper
Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time-varying risk adjustment channel that induces...
Persistent link: https://www.econbiz.de/10010487749
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Decomposing risk in dynamic stochastic general equilibrium
Lan, Hong; Meyer-Gohde, Alexander - 2013 - This Version: April 16, 2013
We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes a time-varying risk adjustment channel that induces variability in...
Persistent link: https://www.econbiz.de/10009738238
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Firms' heterogeneity, endogenous entry, and exit decisions
Totzek, Alexander - 2009
As GDP is highly correlated with both entering and exiting firms, we develop a totally microfounded DSGE model with endogenous firms entry as well as exit decisions. We show that the simplifying assumption of a constant firms' death rate made by the recent literature on DSGE modelling can lead...
Persistent link: https://www.econbiz.de/10003914203