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Numerical Simulation of Nonoptimal Dynamic Equilibrium Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Zhigang Feng () (Department of Economics, University of Miami)
Jianjun Miao () (Department of Economics, Boston University)
Adrian Peralta-Alva () (Research Division, Federal Reserve Bank of Saint Louis)
Manual Santos () (Department of Economics, University of Miami)
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registered author(s):
In this paper we present a recursive method for the computation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. This method is based upon a convergent operator over an expanded set of state variables. The ï¬xed point of this operator deï¬nes the set of all Markovian equilibria. We study approximation properties of the operator as well as the convergence of the moments of simulated sample paths. We apply our numerical algorithm to two growth models, an overlapping generations economy with money, and an asset pricing model with financial frictions.
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Paper provided by University of Miami, Department of Economics in its series Working Papers with number
0912.
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Length: 49 pages
Date of creation: 28 Feb 2009Date of revision:
Handle: RePEc:mia:wpaper:0912Contact details of provider: Postal: P.O. Box 248126, Coral Gables, FL 33124-6550 Phone: (305) 284-5540 Fax: (305) 284-2985 Web page: http://www.bus.miami.edu/faculty-and-research/academic-departments/economics/index.html More information through EDIRC
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Keywords: Heterogeneous agents ; taxes ; externalities ; financial frictions ; competitive equilibrium ; computation ; simulation ; Other versions of this item:
Find related papers by JEL classification: C6 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming D5 - Microeconomics - - General Equilibrium and Disequilibrium E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment
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