Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm

Lilia Maliar, Serguei Maliar and Fernando Valli

Journal of Economic Dynamics and Control, 2010, vol. 34, issue 1, 42-49

Abstract: This paper studies the properties of the solution to the heterogeneous agents model in Den Haan et al. [2009. Computational suite of models with heterogeneous agents: incomplete markets and aggregate uncertainty. Journal of Economic Dynamics and Control, this issue]. To solve for the individual policy rules, we use an Euler-equation method iterating on a grid of pre-specified points. To compute the aggregate law of motion, we use the stochastic-simulation approach of Krusell and Smith [1998. Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy 106, 868-896]. We also compare the stochastic- and non-stochastic-simulation versions of the Krusell-Smith algorithm, and we find that the two versions are similar in terms of their speed and accuracy.

Keywords: Dynamic; stochastic; models; Heterogeneous; agents; Aggregate; uncertainty; Euler-equation; methods; Simulations; Numerical; solutions (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1889(09)00132-8
Full text for ScienceDirect subscribers only

Related works:
Software Item: Matlab code for "Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm" (2009)
Working Paper: Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:34:y:2010:i:1:p:42-49

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().