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

Lilia Maliar, Fernando Valli and Serguei Maliar

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: This paper studies the properties of the solution to the heterogeneous agents model in Den Haan, Judd and Juillard (2008). To solve for the individual policy rules, we use an Euler-equation method iterating on a grid of prespecified points. To compute the aggregate law of motion, we use the stochastic-simulation approach of Krusell and Smith (1998). 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.

Pages: 24 pages
Date: 2009-01
New Economics Papers: this item is included in nep-cba, nep-cmp and nep-dge
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Citations: View citations in EconPapers (12)

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2009-03.pdf Fisrt version / Primera version, 2009 (application/pdf)

Related works:
Journal Article: Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm (2010)
Software Item: Matlab code for "Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm" (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2009-03

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