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Heterogeneity in Macroeconomics and the Minimal Econometric Interpretation for Model Comparison

Cozzi, Marco - Economics Department, Queen's University - 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/10011085028

Adverse Selection, Risk Sharing and Business Cycles

Veracierto, Marcelo - Federal Reserve Bank of Chicago - 2014

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...

Persistent link: https://www.econbiz.de/10011093788

Comparing Solution Methods for DSGE Models with Labor Market Search

Lan, Hong - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...

Persistent link: https://www.econbiz.de/10010895344

The Krusell-Smith Algorithm: Are Self-fulfilling Equilibria Likely?

Cozzi, Marco - Economics Department, Queen's University - 2014

I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneous-agent economies with … the new initial guess to compute the equilibrium with this algorithm. In a sequence of cases, differing only in the … result lies in a self-correcting mechanism present in the algorithm: compared to the equilibrium law of motion, a candidate …

Persistent link: https://www.econbiz.de/10010885962

Occasionally Binding Collateral Constraints in RBC Models

Espino, Emilio; Hintermaier, Thomas - Society for Economic Dynamics - SED - 2004

The real business cycle (RBC) model pioneered by Kydland and Prescott (1982) was a fundamental step to understand business cycles. This literature, in general, claims that aggregate technology shocks are the main ingredient to explain these fluctuations. However, in order to match various...

Persistent link: https://www.econbiz.de/10005069549

Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei - Department of Economics, Brigham Young University - 2014

We propose a novel methodology for evaluating the accuracy of numerical solutions to dynamic economic models. Specifically, we construct a lower bound on the size of approximation errors. A small lower bound on errors is a necessary condition for accuracy: If a lower error bound is unacceptably...

Persistent link: https://www.econbiz.de/10011273946

Computing Equilibria of Non-Optimal Economies

DANTHINE, Jean-Pierre; DONALDSON, John B. - Départment d'économétrie et d'économie politique … - 1993

Persistent link: https://www.econbiz.de/10005481772

A Toolbox for the Numerical Study of Linear Dynamic Rational Expectations Models

Oviedo, P. Marcelo - EconWPA - 2005

By simplifying the computational tasks and by providing step-by-step explanations of the procedures required to study a linear dynamic rational expectations (LDRE) model, this paper and the accompanying ``LDRE Toolbox' of Matalb functions guide a researcher with almost no experience in...

Persistent link: https://www.econbiz.de/10005408265

A comparison of numerical methods for the solution of continuous-time DSGE models

Parra-Alvarez, Juan Carlos - School of Economics and Management, University of Aarhus - 2013

This paper evaluates the accuracy of a set of techniques that approximate the solution of continuous-time DSGE models. Using the neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All techniques are applied to the HJB equation and the optimality conditions...

Persistent link: https://www.econbiz.de/10010851250

Analysis of various shocks within the high-frequency versions of the baseline New-Keynesian model

Sacht, Stephen - Institut für Volkswirtschaftslehre, … - 2014

In this paper we analyze a hybrid small-scale New-Keynesian model with an arbitrary frequency of the agents' synchronized decision making. We study the impact of various demand and supply shocks on the dynamics of the model variables. We show that the corresponding impulse-response functions of...

Persistent link: https://www.econbiz.de/10010954813