English, Article, Journal or magazine article edition: Numerical simulation of nonoptimal dynamic equilibrium models Manuel S. Santos; Zhigang Feng; Jianjun Miao; ...

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Bookmark: http://trove.nla.gov.au/version/156577
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Numerical Simulation of Nonoptimal Dynamic Equilibrium Models
Author
  • Manuel S. Santos
  • Zhigang Feng
  • Jianjun Miao
  • Adrian Peralta-Alva
  • Manual Santos
Physical Description
  • preprint
Notes
  • 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 on a convergent operator over an expanded set of state variables. The fixed point of this operator defines 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.
  • Econometric models
  • RePEc:fip:fedlwp:2009-018
  • 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.
  • Heterogeneous agents, taxes, externalities, financial frictions, competitive equilibrium, computation, simulation
  • RePEc:mia:wpaper:0912
Language
  • English
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