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Computation of equilibria in heterogeneous agent models

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  • José-Víctor Ríos-Rull

Abstract

This paper essentially puts together procedures that are used in the computation of equilibria in models with a very large number of heterogeneous agents. It is not a complete description of all procedures used in the literature. It describes procedures that deal with infinitely lived agent versions of the growth model with and without aggregate uncertainty, overlapping generations models, and dynamic political economy models.

Suggested Citation

  • José-Víctor Ríos-Rull, 1997. "Computation of equilibria in heterogeneous agent models," Staff Report 231, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:231
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    References listed on IDEAS

    as
    1. José-Víctor Ríos-Rull, 1996. "Life-Cycle Economies and Aggregate Fluctuations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 63(3), pages 465-489.
    2. Luis Cubeddu & José-Víctor Ríos-Rull, 1997. "Marital risk and capital accumulation," Staff Report 235, Federal Reserve Bank of Minneapolis.
    3. Huang, He & İmrohorogˇlu, Selahattin & Sargent, Thomas J., 1997. "Two Computations To Fund Social Security," Macroeconomic Dynamics, Cambridge University Press, vol. 1(1), pages 7-44, January.
    4. Harald Uhlig, 1996. "A law of large numbers for large economies (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 8(1), pages 41-50.
    5. Diaz-Gimenez, Javier & Prescott, Edward C. & Fitzgerald, Terry & Alvarez, Fernando, 1992. "Banking in computable general equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 533-559.
    6. Rios-Rull, Jose-Victor, 1994. "On the quantitative importance of market completeness," Journal of Monetary Economics, Elsevier, vol. 34(3), pages 463-496, December.
    7. Huggett, Mark, 1993. "The risk-free rate in heterogeneous-agent incomplete-insurance economies," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 953-969.
    8. Kjetil Storesletten, 2000. "Sustaining Fiscal Policy through Immigration," Journal of Political Economy, University of Chicago Press, vol. 108(2), pages 300-323, April.
    9. repec:cup:macdyn:v:1:y:1997:i:1:p:7-44 is not listed on IDEAS
    10. Gary D. Hansen & Edward C. Prescott, 1992. "Recursive methods for computing equilibria of business cycle models," Discussion Paper / Institute for Empirical Macroeconomics 36, Federal Reserve Bank of Minneapolis.
    11. Krusell, Per & Quadrini, Vincenzo & Rios-Rull, Jose-Victor, 1996. "Are consumption taxes really better than income taxes?," Journal of Monetary Economics, Elsevier, vol. 37(3), pages 475-503, June.
    12. Alan J. Auerbach & Laurence J. Kotlikoff & Robert P. Hagemann & Giuseppe Nicoletti, 1989. "The Economic Dynamics of an Ageing Population: The Case of Four OECD Countries," OECD Economics Department Working Papers 62, OECD Publishing.
    13. Ayse Imrohoroglu & Selahattin Imrohoroglu & Douglas H. Joines, 1994. "The effect of tax-favored retirement accounts on capital accumulation and welfare," Discussion Paper / Institute for Empirical Macroeconomics 92, Federal Reserve Bank of Minneapolis.
    14. Per Krusell & Anthony A. Smith & Jr., 1998. "Income and Wealth Heterogeneity in the Macroeconomy," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 867-896, October.
    15. Per Krusell & José-Victor Ríos-Rull, 1994. "What Constitutions Promote Capital Accumulation? A Political-Economy Approach," Wallis Working Papers WP1, University of Rochester - Wallis Institute of Political Economy.
    16. Krusell, Per & Quadrini, Vincenzo & Rios-Rull, Jose-Victor, 1997. "Politico-economic equilibrium and economic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 21(1), pages 243-272, January.
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    Cited by:

    1. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
    2. Jonathan Heathcote, 2005. "Fiscal Policy with Heterogeneous Agents and Incomplete Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(1), pages 161-188.
    3. Michal Rubaszek & Dobromil Serwa, 2011. "Determinants of credit to households in a life-cycle model," NBP Working Papers 92, Narodowy Bank Polski.
    4. Den Haan, Wouter J., 2010. "Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 79-99, January.
    5. repec:cte:werepe:35536 is not listed on IDEAS
    6. Algan, Yann & Allais, Olivier & Den Haan, Wouter J., 2010. "Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 59-68, January.
    7. Algan, Yann & Allais, Olivier & Den Haan, Wouter J., 2008. "Solving heterogeneous-agent models with parameterized cross-sectional distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 875-908, March.
    8. Leach, Andrew J., 2007. "The climate change learning curve," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1728-1752, May.
    9. Den Haan, Wouter J., 2010. "Comparison of solutions to the incomplete markets model with aggregate uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 4-27, January.
    10. V. V Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2002. "Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 69(3), pages 533-563.
    11. Junjian Miao & Manuel Santos, 2005. "Numerical Solution of Dynamic Non-Optimal Economies," Boston University - Department of Economics - Working Papers Series WP2005-003, Boston University - Department of Economics.
    12. Maliar, Lilia & Maliar, Serguei, 2006. "The Neoclassical Growth Model with Heterogeneous Quasi-Geometric Consumers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(3), pages 635-654, April.
    13. Senbeta, Sisay, 2011. "How applicable are the new keynesian DSGE models to a typical low-income economy?," MPRA Paper 30931, University Library of Munich, Germany.
    14. Christopher Ferrall, 2003. "Solving Finite Mixture Models in Parallel," Computational Economics 0303003, University Library of Munich, Germany.
    15. Marius Jurgilas, 2006. "Interbank Markets under Currency Boards," Working papers 2006-19, University of Connecticut, Department of Economics.
    16. Lilia Maliar & Serguei Maliar, 2003. "A Neoclassical Theory Of Wage Arrears In Transition Economies," Working Papers. Serie AD 2003-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    17. Zakharenko, Roman, 2007. "Migration, Learning, and Development," MPRA Paper 6262, University Library of Munich, Germany.
    18. Luis San Vicente Portes, 2005. "On the Distributional Effects of Trade Policy: A Macroeconomic Perspective," Computing in Economics and Finance 2005 358, Society for Computational Economics.
    19. repec:cte:werepe:28874 is not listed on IDEAS
    20. Stuart J. Wilson, 2003. "A Dynamic General Equilibrium Analysis of Migration and Capital Formation: The Case of Canada," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(2), pages 455-481, April.
    21. Costas Xiouros, 2006. "Asset price volatilities and trading volumes in heterogeneous agent economies," Computing in Economics and Finance 2006 466, Society for Computational Economics.

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