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

Lilia Maliar; Serguei Maliar; Fernando Valli

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

机译：使用Krusell-Smith算法求解具有总不确定性的不完全市场模型

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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.

机译：本文研究了Den Haan等人的异构代理模型解决方案的性质。 [2009年。具有异构主体的计算模型套件：不完整的市场和总体不确定性。经济动力学与控制学报，本期]。为了解决个别的政策规则，我们使用欧拉方程法在预定点的网格上进行迭代。为了计算总体运动定律，我们使用Krusell和Smith [1998年的随机模拟方法。宏观经济中的收入和财富异质性。政治经济学杂志106，868-896]。我们还比较了Krusell-Smith算法的随机模拟版本和非随机模拟版本，我们发现这两个版本在速度和准确性上都相似。

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来源
《Journal of Economic Dynamics and Control》 |2010年第1期|42-49|共8页
作者
Lilia Maliar; Serguei Maliar; Fernando Valli;
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作者单位

University of Alicante, Spain Hoover Institution at Stanford University, T23, 434 Calvez Mall, Stanford, CA 94305-6010, USA;

University of Alicante, Spain Hoover Institution at Stanford University, T23, 434 Calvez Mall, Stanford, CA 94305-6010, USA;

University of Alicante, Spain University of CEMA, Argentina;

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正文语种 eng
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关键词
dynamic stochastic models; heterogeneous agents; aggregate uncertainty; euler-equation methods; simulations; numerical solutions;

机译：动态随机模型;异质剂总体不确定性;欧拉方程法;模拟;数值解;

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

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