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Numerical Simulation of Nonoptimal Dynamic Equilibrium Models

Zhigang Feng (), Jianjun Miao, Adrian Peralta-Alva () and Manuel Santos

No wp2009-013, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: 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.

Keywords: Heterogeneous agents; taxes; externalities; financial frictions; competitive equilibrium; computation; simulation (search for similar items in EconPapers)
JEL-codes: C6 D5 E2 (search for similar items in EconPapers)
Pages: 47
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Citations: View citations in EconPapers (19)

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Related works:
Journal Article: NUMERICAL SIMULATION OF NONOPTIMAL DYNAMIC EQUILIBRIUM MODELS (2014) Downloads
Working Paper: Numerical simulation of nonoptimal dynamic equilibrium models (2009) Downloads
Working Paper: Numerical Simulation of Nonoptimal Dynamic Equilibrium Models (2009) Downloads
Working Paper: Numerical Simulation of Nonoptimal Dynamic Equilibrium Models (2009) Downloads
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