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Computing Stochastic Dynamic Economic Models with a Large Number of State Variables : A Description and Application of a Smolyak-Collocation Method

Malin, Ben; Krueger, Dirk; Kubler, Felix - 2021

We describe a sparse grid collocation algorithm to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method may be in applications by computing the nonlinear recursive solution of an international real business cycle model with a...

Persistent link: https://www.econbiz.de/10013224428

Computing Stochastic Dynamic Economic Models with a Large Number of State Variables : A Description and Application of a Smolyak-Collocation Method

Malin, Ben - 2007

Persistent link: https://www.econbiz.de/10012775840

Small Noise Asymptotics for a Stochastic Growth Model

Williams, Noah - 2021

We develop analytic asymptotic methods to characterize time series properties of nonlinear dynamic stochastic models. We focus on a stochastic growth model which is representative of the models underlying much of modern macroeconomics. Taking limits as the stochastic shocks become small, we...

Persistent link: https://www.econbiz.de/10013228997

Technology (and Policy) Shocks in Models of Endogenous Growth

Jones, Larry; Manuelli, Rody; Stacchetti, Ennio - 2021

Is there a trade-off between fluctuations and growth? The empirical evidence is mixed, with some studies (Kormendi and Meguire (1985)) finding a positive relationship, while others (Ramey and Ramey (1995)) finding the a negative one. Our objective in this paper is to understand how fundamental...

Persistent link: https://www.econbiz.de/10013232431

Credit, Prices, and Crashes : Business Cycles with a Sudden Stop

Mendoza, Enrique G. - 2001

The 1990s emerging-markets crises were characterized by sudden reversals in inflows of foreign capital followed by unusually large declines in current account deficits, private expenditures, production, and prices of nontradable goods relative to tradables. This paper shows that these Sudden...

Persistent link: https://www.econbiz.de/10012787676

Inspecting the Mechanism : An Analytical Approach to the Stochastic Growth Model

Campbell, John Y. - 2010

This paper argues that a clear understanding of the stochastic growth model can best be achieved by working out an approximate analytical solution. The proposed solution method replaces the true budget constraints and Euler equations of economic agents with loglinear approximations. The model...

Persistent link: https://www.econbiz.de/10013135155

Modeling the Long Run : Valuation in Dynamic Stochastic Economies

Hansen, Lars Peter - 2008

I explore the equilibrium value implications of economic models that incorporate reactions to a stochastic environment. I propose a dynamic value decomposition (DVD) designed to distinguish components of an underlying economic model that influence values over long horizons from components that...

Persistent link: https://www.econbiz.de/10012770669

Managing Credit Booms and Busts : A Pigouvian Taxation Approach

Jeanne, Olivier - 2010

We study a dynamic model in which the interaction between debt accumulation and asset prices magnifies credit booms and busts. We find that borrowers do not internalize these feedback effects and therefore suffer from excessively large booms and busts in both credit flows and asset prices. We...

Persistent link: https://www.econbiz.de/10013138082

Estimating Macroeconomic Models : A Likelihood Approach

Fernández-Villaverde, Jesús - 2006

This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those...

Persistent link: https://www.econbiz.de/10012781956

Towards a Dynamic Disequilibrium Theory with Randomness

Guzman, Martín; Stiglitz, Joseph E. - 2022

present a dynamic disequilibrium theory with randomness that is based on the premise that a better way to understand deep … coherent theory of how it is attained, the incompleteness of markets and the non-stationarity of the stochastic processes … describing the economy. We analyze the policy implications of this alternative theory, which typically differ markedly from those …

Persistent link: https://www.econbiz.de/10013309631