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Numerical Simulation of Nonoptimal Dynamic Equilibrium Models

Zhigang Feng (), Jianjun Miao, Adrian Peralta-Alva () and Manual Santos ()
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Manual Santos: Department of Economics, University of Miami

No 912, Working Papers from University of Miami, 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 upon a convergent operator over an expanded set of state variables. The ï¬ xed point of this operator deï¬ nes 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: 49 pages
Date: 2009-02-28
New Economics Papers: this item is included in nep-cba, nep-cmp and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Forthcoming: Under Review

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https://www.herbert.miami.edu/_assets/files/repec/ ... ical-apsfeb28-09.pdf First version, 2009 (application/pdf)

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
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