Numerical simulation of nonoptimal dynamic equilibrium models

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

No 2009-018, Working Papers from Federal Reserve Bank of St. Louis

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: Econometric; models (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-cmp and nep-dge
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Citations: View citations in EconPapers (11)

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Related works:
Journal Article: NUMERICAL SIMULATION OF NONOPTIMAL DYNAMIC EQUILIBRIUM MODELS (2014)
Working Paper: Numerical Simulation of Nonoptimal Dynamic Equilibrium Models (2009)
Working Paper: Numerical Simulation of Nonoptimal Dynamic Equilibrium Models (2009)
Working Paper: Numerical Simulation of Nonoptimal Dynamic Equilibrium Models
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2009-018

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DOI: 10.20955/wp.2009.018

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